Message-ID: <CAF8bMcYtv8YfwKUQF2GnDkxDq_U=5xx+6ygDGPmADhPz1kw57Q@mail.gmail.com>
Date: 2016-06-16T15:07:09Z
From: William Dunlap
Subject: extracting coefficients from ar() output
In-Reply-To: <1466076844890.54542@kent.ac.uk>
help(ar) should tell you how to get the coefficients. If, like me, you
don't
read help files, you can use str() to look at the structure of ar's output.
> str(a <- ar(sin(1:30), aic=TRUE))
List of 14
$ order : int 2
$ ar : num [1:2] 1.011 -0.918
$ var.pred : num 0.0654
$ x.mean : num 0.00934
$ aic : Named num [1:15] 61.215 53.442 0 0.985 2.917 ...
..- attr(*, "names")= chr [1:15] "0" "1" "2" "3" ...
$ n.used : int 30
$ order.max : num 14
$ partialacf : num [1:14, 1, 1] 0.5273 -0.9179 -0.1824 -0.0477 -0.0393 ...
$ resid : num [1:30] NA NA -0.0145 -0.0734 -0.0725 ...
$ method : chr "Yule-Walker"
$ series : chr "sin(1:30)"
$ frequency : num 1
$ call : language ar(x = sin(1:30), aic = TRUE)
$ asy.var.coef: num [1:2, 1:2] 0.00583 -0.00308 -0.00308 0.00583
- attr(*, "class")= chr "ar"
> a$ar
[1] 1.0112512 -0.9178554
Bill Dunlap
TIBCO Software
wdunlap tibco.com
On Thu, Jun 16, 2016 at 4:34 AM, T.Riedle <tr206 at kent.ac.uk> wrote:
> Hi everybody,
>
> I am trying to run an AR1 model using the ar() function as shown below.
>
> > rollingarma<-rollapply(data,width=36,function(data) ar(data,aic=TRUE))
> > head(rollingarma,50)
> order ar var.pred x.mean aic n.used order.max
> partialacf resid method series
> [1,] 1 0.7433347 1.382908 49.99861 Numeric,16 36 15
> Numeric,15 Numeric,36 "Yule-Walker" "data"
> [2,] 1 0.7410181 1.565755 49.94778 Numeric,16 36 15
> Numeric,15 Numeric,36 "Yule-Walker" "data"
> [3,] 1 0.7636966 1.660581 49.86861 Numeric,16 36 15
> Numeric,15 Numeric,36 "Yule-Walker" "data"
>
>
> I get the table as shown above if I use head().
>
> How can I extract the ar coefficients from this table? I have already
> tried coef() and rollingarma$ar but both do not work.
> What can I do?
>
> Thanks for your help.
>
>
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>
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