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On 19/07/2013, at 1:43 AM, "Prof Brian Ripley [via R]" <ml-node+s789695n4671862...@n4.nabble.com> wrote: > 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 âNAâ entries in > âfixedâ will be varied. âtransform.pars = TRUEâ 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, [hidden email] > 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 > > ______________________________________________ > [hidden email] 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. > > > If you reply to this email, your message will be added to the discussion > below: > http://r.789695.n4.nabble.com/restrected-arima-models-tp4671847p4671862.html > To unsubscribe from restrected arima models, click here. > NAML -- View this message in context: http://r.789695.n4.nabble.com/restrected-arima-models-tp4671847p4671867.html Sent from the R help mailing list archive at Nabble.com. [[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.
