Hello,
Take a look at parameter 'fixed' of function arima. From the help page
for arima():
"fixed
optional numeric vector of the same length as the total number of
parameters. If supplied, only NA entries in fixed will be varied."
Example use ('fixed' has length 7 because we must count the intercept term):
x <- ts(cumsum(rnorm(100)))
fit <- arima(x, order = c(6,0,0), fixed = c(0, 0, 0, NA, NA, NA, NA),
transform.pars = FALSE)
fit
Hope this helps,
Rui Barradas
Em 18-07-2013 16:14, george escreveu:
Dear all,
Does anyone know if it is possible to estimate restricted arima models using
the arima command in R? For instance lets say I want arima(6,0,0) but where
the first three ar parameters are restricted to zero, ie. ar(1)=ar(2)=ar(3)
= 0, and only the last three are actually estimated.
Any help will be much appreciated.
george
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