ARIMA question
No I mean I get an error when I use arima.sim on my fitted model. It works on models which don't have seasonality like ARIMA(p,d,q) But not on models of the type ARIMA(p,d,q)X(P,D,Q)_S -----Original Message----- From: Jeff Ryan [mailto:jeff.a.ryan at gmail.com] Sent: Wednesday, November 07, 2007 4:30 PM To: Yalla, Swaroop (FID) Cc: Nathan Bryant; r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] ARIMA question The problem is...? The arima.sim was only for demonstration purposes - it will work on any arima object. Or am I missing your problem. If you just want seasonal data there are series to be found out there to 'practice' on... On Nov 7, 2007 3:22 PM, Yalla, Swaroop (FID)
<Swaroop.Yalla at morganstanley.com> wrote:
I am running into yet another problem - my model is a seasonal ARIMA -
and arima.sim ONLY applies to non-seasonal ARIMA models. Swaroop -----Original Message----- From: Jeff Ryan [mailto:jeff.a.ryan at gmail.com] Sent: Wednesday, November 07, 2007 4:21 PM To: Nathan Bryant Cc: Yalla, Swaroop (FID); r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] ARIMA question Actually there is one for the tseries class "arma" NOT "Arima" from stats.
methods(fitted)
[1] fitted.arma* fitted.default* fitted.garch* [4] fitted.isoreg* fitted.nls* fitted.quantmod* [7] fitted.smooth.spline* fitted.values.quantmod* Non-visible functions are asterisked
search()
[1] ".GlobalEnv" "package:tseries" "package:quadprog" [4] "package:quantmod" "package:Defaults" "package:zoo" [7] "package:stats" "package:graphics" "package:grDevices" [10] "package:utils" "package:datasets" "package:methods" [13] "Autoloads" "package:base"
Jeff On Nov 7, 2007 3:17 PM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
Do you have a particular version? Mine does not have a method like
that...
x.model
Call:
arima(x = x, order = c(0, 0, 2))
Coefficients:
ma1 ma2 intercept
0.3812 -0.1138 0.0936
s.e. 0.0956 0.0862 0.2631
sigma^2 estimated as 4.318: log likelihood = -215.15, aic = 438.31
class(x.model)
[1] "Arima"
methods(fitted)
[1] fitted.default* fitted.isoreg* fitted.nls* [4] fitted.quantmod* fitted.smooth.spline*
fitted.values.quantmod*
Non-visible functions are asterisked
fitted(x.model)
NULL
On Nov 7, 2007 3:07 PM, Nathan Bryant <nbryant at optonline.net> wrote:
There is a method called "fitted()" that applies to most model classes including Arima, which does the same thing. Jeff Ryan wrote:
I think it is as simple as backing out from the residuals: # an MA2 model x <- arima.sim(list(ma=2),n=100) #Fitted as such... x.model <- arima(x,c(0,0,2)) # add the residuals to the original data x.insample.fit <- x-residuals(x.model) # and you can even see them: plot(x) par(new=TRUE) lines(x.insample.fit,col=3,lty=2) Jeff On Nov 7, 2007 12:47 PM, Yalla, Swaroop (FID) <Swaroop.Yalla at morganstanley.com> wrote:
Hi: I have another ARIMA question for R. I was finally able to use ARIMA modeling on my data. Now to forecast out of sample, we can use predict(fit, n.ahead = 10) type of command and thats fine- but how can I see the fit in-sample. I mean is there a easy way to just compare the actual data with the fitted model
in-sample?
thanks for all the help..
Swaroop
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