I am puzzled by the warning message in the output below. It appears
whether or not I fit the seasonal term (but the precise point of doing
this was to fit what is effectively a second seasonal term). Is there
some deep reason why AR parameters
("Warning message: some AR parameters were fixed: ...")
should somehow intrude into the fitting of a model that has only MA
terms?
> library(DAAG)
> attach(bomsoi)
> # The following is fine:
> arima(avrain, order=c(0,0,4), seasonal=list(order=c(0,0,1),
period=12),
+ fixed=c(NA,0,0,NA,NA,NA))
.....
> # The following generates a warning message
> arima(avrain, order=c(0,0,4), seasonal=list(order=c(0,0,1),
period=12),
+ fixed=c(0,0,0,NA,NA,NA))
Call:
arima(x = avrain, order = c(0, 0, 4), seasonal = list(order = c(0, 0,
1), period = 12),
fixed = c(0, 0, 0, NA, NA, NA))
Coefficients:
ma1 ma2 ma3 ma4 sma1 intercept
0 0 0 0.0357 -0.1061 456.6675
s.e. 0 0 0 0.1015 0.0886 7.6997
sigma^2 estimated as 6849: log likelihood = -595.23, aic = 1198.46
Warning message:
some AR parameters were fixed: setting transform.pars = FALSE in:
arima(avrain, order = c(0, 0, 4), seasonal = list(order = c(0,
John Maindonald email: john.maindonald at anu.edu.au
phone : +61 2 (6125)3473 fax : +61 2(6125)5549
Centre for Bioinformation Science, Room 1194,
John Dedman Mathematical Sciences Building (Building 27)
Australian National University, Canberra ACT 0200.
arima: warning when fixing MA parameters.
2 messages · John Maindonald, Brian Ripley
1 day later
It's a bug: the code has 1:arma[1], i.e. 1:0. Replace by seq(length=arma[1]).
On Thu, 13 Oct 2005, John Maindonald wrote:
I am puzzled by the warning message in the output below. It appears
whether or not I fit the seasonal term (but the precise point of doing
this was to fit what is effectively a second seasonal term). Is there
some deep reason why AR parameters
("Warning message: some AR parameters were fixed: ...")
should somehow intrude into the fitting of a model that has only MA
terms?
library(DAAG) attach(bomsoi) # The following is fine: arima(avrain, order=c(0,0,4), seasonal=list(order=c(0,0,1),
period=12), + fixed=c(NA,0,0,NA,NA,NA)) .....
# The following generates a warning message arima(avrain, order=c(0,0,4), seasonal=list(order=c(0,0,1),
period=12),
+ fixed=c(0,0,0,NA,NA,NA))
Call:
arima(x = avrain, order = c(0, 0, 4), seasonal = list(order = c(0, 0,
1), period = 12),
fixed = c(0, 0, 0, NA, NA, NA))
Coefficients:
ma1 ma2 ma3 ma4 sma1 intercept
0 0 0 0.0357 -0.1061 456.6675
s.e. 0 0 0 0.1015 0.0886 7.6997
sigma^2 estimated as 6849: log likelihood = -595.23, aic = 1198.46
Warning message:
some AR parameters were fixed: setting transform.pars = FALSE in:
arima(avrain, order = c(0, 0, 4), seasonal = list(order = c(0,
John Maindonald email: john.maindonald at anu.edu.au
phone : +61 2 (6125)3473 fax : +61 2(6125)5549
Centre for Bioinformation Science, Room 1194,
John Dedman Mathematical Sciences Building (Building 27)
Australian National University, Canberra ACT 0200.
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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