On 18/07/2013 16:14, george wrote:
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.
Yes.
Any help will be much appreciated.
Have you read the help page? Someone helped you by writing it (and
indeed, by providing the facility, which few ARIMA-fitting programs have).
fixed: optional numeric vector of the same length as the total
number of parameters. If supplied, only ‘NA’ entries in
‘fixed’ will be varied. ‘transform.pars = TRUE’ will be
overridden (with a warning) if any AR parameters are fixed.
E.g.
x <- rnorm(100)
arima(x, order=c(6,0,0), fixed = c(0,0,0,NA,NA,NA,NA))
Coefficients:
ar1 ar2 ar3 ar4 ar5 ar6 intercept
0 0 0 0.0423 0.0977 0.1299 -0.1462
s.e. 0 0 0 0.1065 0.1075 0.1059 0.1323
george
--
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
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