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Help needed please
2 messages · Jaymin Shah, ilai
Your script is rather inefficient with spurious cbind calls. Any
particular reason not to use
?ar directly ?
Call:
ar.yw.default(x = simtimeseries, order.max = 4)
Coefficients:
1 2 3 4
1.9440 -1.9529 0.8450 -0.2154
Order selected 4 sigma^2 estimated as 15.29
To repeat the sim, you could use a for() loop but ?sapply is better:
out<- sapply(1:100,function(...){
simtimeseries <- arima.sim(n=1024,list(order=c(4,0,0),
ar=c(2.7607, -3.8106, 2.6535,
-0.9258),sd=sqrt(1)))
aryule <- ar.yw(simtimeseries,order.max=4)
c( c(aryule$ar,NA)[1:4] , aryule$var.pred )
}
)
rowMeans(out[1:4,]) # mean phi(1),...,4 see ?rowMeans for dealing with NA's
mean(out[5,]) # mean sig^2
Cheers
On Fri, Feb 10, 2012 at 6:42 AM, Jaymin Shah <jayminshah1 at hotmail.com> wrote:
I have coded a time series from simulated data: simtimeseries <- arima.sim(n=1024,list(order=c(4,0,0),ar=c(2.7607, -3.8106, 2.6535, ?-0.9258),sd=sqrt(1))) #show roots are outside unit circle plot.ts(simtimeseries, xlab="", ylab="", main="Time Series of Simulated Data") # Yule ---------------------------------------------------------------------------- q1 <- cbind(simtimeseries[1:1024]) q2 <- t(q1)%*%q1 s0 <- q2/1204 r1 <- cbind(simtimeseries[1:1023]) r2 <- cbind(simtimeseries[2:1024]) r3 <- t(r1)%*%r2 s1 <- r3/1204 t1 <- cbind(simtimeseries[1:1022]) t2 <- cbind(simtimeseries[3:1024]) t3 <- t(t1)%*%t2 s2 <- t3/1204 u1 <- cbind(simtimeseries[1:1021]) u2 <- cbind(simtimeseries[4:1024]) u3 <- t(u1)%*%u2 s3 <- u3/1204 v1 <- cbind(simtimeseries[1:1020]) v2 <- cbind(simtimeseries[5:1024]) v3 <- t(v1)%*%v2 s4 <- v3/1204 i0 <- c(s0,s1,s2,s3) i1 <- c(s1,s0,s1,s2) i2 <- c(s2,s1,s0,s1) i3 <- c(s3,s2,s1,s0) gamma <- cbind(i0,i1,i2,i3) eta <-c(s1,s2,s3,s4) inversegamma <- solve(gamma) phihat <- inversegamma%*%eta phihat Phihat <- cbind(phihat) s <- c(s1,s2,s3,s4) S <- cbind(s) sigmasquaredyule <- s0 - (t(Phihat)%*%S) sigmasquaredyule I did a yule walker estimate on the simulated data and wanted to work out phi hat which is a vector of 4 values and sigmasquaredyule which is one value. However, ?I want to run the simulated data 100 times i.e. in a for loop and then take the averages of the phi hat values and sigmasquaredyule value. How would i repeat this simulated time series lots of times (e.g. a 100 times) and store the average value of phi hat and sigmasquaredyule. Thank you ? ? ? ?[[alternative HTML version deleted]]
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