Sorry I am not really sure I have been taht clear.
I meant ARMA which is not bound to have zero mean. More precisely, suppose I
estimate y(t) = a + by(t-1) + e(t) + ce(t-1) , i.e. and ARMA(1,1). My
question is how do I simulate values for yt given the values for a, b and c?
My problem with arima.sim is that I cannot find a way to pass the value for
the constant a.
Output from R is:
Coefficient(s):
Estimate Std. Error t value Pr(>|t|)
ar1 0.82978 0.01033 80.297 < 2e-16 ***
ma1 0.46347 0.01548 29.942 < 2e-16 ***
intercept -0.02666 0.01012 -2.635 0.00841 **
---
Intercept is significant and I suppose it should be used if I want simulate
values from this ARMA(1,1)
Thanks and Apologies for not being clear
Paolo
On 3 January 2011 16:46, Prof Brian Ripley <rip...@stats.ox.ac.uk> wrote:
> On Mon, 3 Jan 2011, Paolo Rossi wrote:
>
> Hi,
>>
>> I have been looking at arima.sim to simulate the output from an ARMA model
>> fed with a normal and uncorrelated input series but I cannot find a way to
>> pass an intercept / constant into the model. In other words, the model
>> input
>> in the function allows only for the AR and MA components but I need to
>> pass
>> a constant.
>>
>> Can anyone help?
>>
>
> Well, an ARIMA model by definition has zero mean (as the link on the help
> page for arima.sim to the exact definition tells you). Perhaps you mean
> that (X-m) = Z follows an ARIMA model, in which case simulate Z and add m.
> For a differenced ARIMA model it is not clear if you meant that you wanted
> an intercept for the original or differenced series: for the latter simply
> simulate the differenced series, add the intercept and use diffinv().
>
> Thanks
>>
>> Paolo
>>
>> [[alternative HTML version deleted]]
>>
>
> Please do as we asked in the posting guide and not send HTML.
>
> --
> Brian D. Ripley, rip...@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
>
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
