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ARIMA estimation
3 messages · Stefano Colucci, Brian Ripley, Romain Francois
On Thu, 19 May 2005, Stefano Colucci wrote:
Good morning, (sorry for my english) i have some problems to put off by extimation ARIMA coefficients the ones not significatives. Exist a method to extimate only that significatives? i use the command: arima().
See the argument 'fixed', which allows you to choose which coefficients to estimate.
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
Le 19.05.2005 09:23, Stefano Colucci a ??crit :
Good morning, (sorry for my english) i have some problems to put off by extimation ARIMA coefficients the ones not significatives. Exist a method to extimate only that significatives? i use the command: arima(). thanks to all Stefano
You can fix coefs to what you want by using the parameter fixed in the arima call. arima(x,fixed=c(NA,0,NA),order=c(3,0,0)) will fit an arima(p=3,i=0,q=0) with \phi_2 fixed to zero. Maybe you'll be interested in graph 29 in the graph gallery : http://addictedtor.free.fr/graphiques/ See http://addictedtor.free.fr/graphiques/RGraphGallery.php?graph=29 Romain
~~~~~~~~ ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ~~~~~~~~ ~~~~~~ Romain FRANCOIS - http://addictedtor.free.fr ~~~~~~ ~~~~ Etudiant ISUP - CS3 - Industrie et Services ~~~~ ~~ http://www.isup.cicrp.jussieu.fr/ ~~ ~~~~ Stagiaire INRIA Futurs - Equipe SELECT ~~~~ ~~~~~~ http://www.inria.fr/recherche/equipes/select.fr.html ~~~~~~ ~~~~~~~~ ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ~~~~~~~~