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arima problems when using argument fixed=

2 messages · Kjetil Halvorsen, Brian Ripley

#
As I am reading ?arima, only NA entries in the argument fixed= 
imports. The following seems to indicate otherwise:



 x <- arima.sim(model=list(ar=0.8), n=100) + (1:100)/50
fixed=fixed1)

Call:
arima(x = x, order = c(1, 0, 0), xreg = t, include.mean = FALSE, 
fixed = fixed1, 
    init = init1)

Coefficients:
         ar1  t
      0.9281  0
s.e.  0.0357  0

sigma^2 estimated as 0.9186:  log likelihood = -138.64,  aic = 281.28
fixed=fixed2)

Call:
arima(x = x, order = c(1, 0, 0), xreg = t, include.mean = FALSE, 
fixed = fixed2, 
    init = init2)

Coefficients:
         ar1       t
      0.7888  0.0377
s.e.  0.0593  0.0000

sigma^2 estimated as 0.8452:  log likelihood = -133.97,  aic = 271.94
[1] NA  0
t 
        NA 0.03767406
fixed=fixed1)

Call:
arima(x = x, order = c(1, 0, 0), xreg = t, include.mean = FALSE, 
fixed = fixed1, 
    init = init2)

Coefficients:
         ar1  t
      0.9281  0
s.e.  0.0357  0

sigma^2 estimated as 0.9186:  log likelihood = -138.64,  aic = 281.28


Kjetil Halvorsen
20 days later
#
I don't see your point here.   If you fix a value, it is fixed and the 
initial value you give is irrelevant.  That is stated quite clearly

   fixed: optional numeric vector of the same length as the total
          number of parameters.  If supplied, only 'NA' entries in
          'fixed' will be varied. 

It looks like you have misread that.
On Sun, 2 May 2004 kjetil@acelerate.com wrote:

            
What does `imports' mean?  That's not on the help page.