extracting coefficients from ar() output

WriteXLS(coefar,ExcelFileName = "R.xls",SheetNames="test")

On Jun 17, 2016, at 11:23 AM, T.Riedle <tr206 at kent.ac.uk> wrote:

Thank you very much, Peter. I played a bit and found a solution. 

rollingarmaols<-rollapply(data,width=36,function(data) 
ar(data,order.max=1,method="ols"))
coefar<-apply(rollingarmaols, 1, getElement, "ar")
head(coefar,50)

[1] 0.9430692 0.9140253 0.9236898 0.9426744 0.9465110 0.9318470 
0.9033054 0.9206048 0.9243736 0.9129082 [11] 0.9181811 0.9350779 
0.9464205 0.9410245 0.9335568 0.9201928 0.8869414 0.8320984 0.8185671 
0.7989182 [21] 0.7454876 0.6388364 0.6797046 0.6704642 0.7077033 
0.8895698 0.8755445 0.8965050 0.8969068 0.8891385 [31] 0.9284835 
0.9628297 0.9674624 0.9524462 0.9423693 0.9629843 0.9996613 1.0000295 
0.9845222 0.9877242 [41] 0.9582863 0.9596756 0.9415847 0.9471677 
0.9447052 0.9324048 0.9171082 0.8928825 0.9133751 0.9203662

I am trying to export the data to Excel using WriteXLS:

WriteXLS(coefar, ExcelFileName = "R.xls", SheetNames = test)

Unfortunately, it doesn't work. How can I export the data to Excel?

-----Original Message-----
From: peter dalgaard [mailto:pdalgd at gmail.com]
Sent: 16 June 2016 18:49
To: William Dunlap
Cc: T.Riedle; R-help at r-project.org
Subject: Re: [R] extracting coefficients from ar() output

On 16 Jun 2016, at 17:07 , William Dunlap via R-help <r-help at r-project.org> wrote:

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.

Also notice that the output of rollapply is not an ar object. More likely a list of them, so  try rollingarma[[i]]$ar or maybe lapply(rollingarma, function(x)x$ar) or sapply(rollingarma, "[[", "ar") or...

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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--
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 
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