On 20/06/17 17:21, Y S wrote:
I'm trying to use the following command.
arima (x, order = c(p,d,q), seasonal =list(order=c(P,D,Q), period=s)
How can I write an estimated seasonal ARIMA model from the outputs. To be
specifically, which sign to use? I know R uses a different signs from S plus.
Is it correct that the model is:
(1-ar1*B-ar2*B^2-...)(1-sar1*B^s-sar2*B^2s-....)(1-B)^d(1-B^s)^D
X_t=(1+ma1*B+ma2*B^2+...)(1+sma1*B^s+sma2*B^2s+....) a_t
For example:
m1=arima(koeps,order=c(0,1,1),seasonal=list(order=c(0,1,1),period=4))
m1
Call:
arima(x = koeps, order = c(0, 1, 1), seasonal = list(order = c(0, 1, 1), period
= 4))
Coefficients:
ma1 sma1
-0.4096 -0.8203
s.e. 0.0866 0.0743
Should the estimated model be written as:
(1-B)(1-B^4) X_t=(1-0.4096B)(1-0.8203B^4) a_t
or (1-B)(1-B^4) X_t=(1+0.4096B)(1+0.8203B^4) a_t
Thanks!
Please do not post in html, although this doesn't seem to have messed
things up too badly in this instance.
The help for arima() says:
The definition used here has
X[t] = a[1]X[t-1] + … + a[p]X[t-p] + e[t] + b[1]e[t-1] + … + b[q]e[t-q]
so your first possibility, i.e.
(1-B)(1-B^4) X_t=(1-0.4096B)(1-0.8203B^4) a_t
is the correct one.
This stuff *does* get confusing; parity errors keep creeping in!
cheers,
Rolf Turner
--
Technical Editor ANZJS
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276
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