ARIMA

Thanks,
Can't find an ARIMA in base, dse1/2 or tseries, only references to. What
package is it in?

library(ts) 
?arima0 # Developed by Prof. Brian Ripley using exact ML
and library tseries has 'arma,' using conditional least squares.

Alvaro A. Novo
R-1.2.0
Linux SuSE 6.4
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Hi,

Can't find an ARIMA in base, dse1/2 or tseries, only references to. What
package is it in?

ts

You can also use the fracdiff package for a fractionally differenced
arima model (max. likelihood estimation of parameters).

Cheers,

Jason Turner

Indigo Industrial Controls Ltd.
64-21-343-545
jasont at indigoindustrial.co.nz
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Thanks,
Can't find an ARIMA in base, dse1/2 or tseries, only references to. What
package is it in?

Try the tools:

help.search("arima")

Help files with alias or title matching `arima':
Type `?FOO' to inspect entry `FOO(PKG) TITLE'.

arima0(ts)   ARIMA Modelling of Time Series -- Preliminary Version

help.search("ARIMA")

Help files with alias or title matching `ARIMA':
Type `?FOO' to inspect entry `FOO(PKG) TITLE'.

arima0(ts)   ARIMA Modelling of Time Series -- Preliminary Version

What was the problem?

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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"Jason" == Jason Turner <jasont at indigoindustrial.co.nz> writes:
  Jason> You can also use the fracdiff package for a fractionally differenced
  Jason> arima model (max. likelihood estimation of parameters).

Fracdiff's covariance matrix always leave me puzzled. Consider this (slightly
modified) 'example(fracdiff)' session:

library(fracdiff)
ts.test <- fracdiff.sim( 5000, ar = .2, ma = -.4, d = .3)
.Random.seed

[1]          1 1866294289  525838217

 fd.obj <- fracdiff( ts.test$series, nar = length(ts.test$ar), nma = length(ts.test$ma))

Warning message:
unable to compute correlation matrix in: switch(temp$info, warning("warning in gamma function"), warning("singular Hessian"),

 fd.obj$hessian.dpq

d       ar1      ma1
d   -2.926964e+11 -4251.568 4249.104
ar1 -4.251568e+03     0.000    0.000
ma1  4.249104e+03     0.000    0.000      

Quoting from Venables and Ripley (S Programming, p 168): "no estimate is
complete without some estimate of its uncertainty". 

That would leave fracdiff incomplete, or even broken, wouldn't it?

Cheers, Dirk

According to the latest figures, 43% of all statistics are totally worthless.
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