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R for arma mdel with constraints on parameters
2 messages · FangTonggen, Brian Ripley
See the 'fixed' argument, which allows you to fix ARIMA parameters at any value, including zero.
On Tue, 26 May 2009, FangTonggen wrote:
Hi, i am learning R recently and find it very helpful in time series model. In ARMA model, given (p,q) it can get the estimation of a[i] and b[j] easily with arima() function. X[t] = a[1]X[t-1] + ... + a[p]X[t-p] + e[t] + b[1]e[t-1] + ... + b[q]e[t-q] but in my recent data model, i met a problem. In the ARMA model, p and q are fixed, but there are some constraints in the parameters a[i] and b[j], such as for some i (i<p), a[i]=0. my problem is how to get these parameters' estimation for these constrants with arima() function? or i need to write functions to realize it. Best regards, Tongen from Beijing
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 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595