On Sep 11, 6:24 am, David Stoffer <[EMAIL PROTECTED]> wrote: > Your model is close, but not correct... there are no t's on the parameters > and the U's aren't lagged. > > You can find an ARMAX example on our "quick fix" > page:http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm. The > example is near the bottom and just above the spectral analysis example, but > you may want to read the "regression with autocorrelated errors" example > first to get some background. > > >
Ok. so arima of R can only deal with unlagged inputs (thus xreg has the latest value in the equation). Your example was an ARX (no moving averages) here is the code of yoru example : armax.fit = arima(mort, order=c(2,0,0), xreg=cbind(trend, part)) I guess I can change it to ARMAX if I use order=c(p,0,q) =) Now theres one thing that might be worth mentioning here though. The above can only work (I am guessing) if the input values (the columns of xreg) are uncorrelated (or what word do use for that, sorry Im a pure mathematician, not a statistician :p ). What I mean is that the matrix in which optim of R must be singular (otherwise I think, from my last try when using two equal valued columns in xreg, arima will complain that optim returns an infinity value). Is there a way to check if the xreg matrix have uncorrelated inputs and then just discard the column until xreg becomes uncorrelated? I'll do a few more experiment with xreg and report here.. Im doing this because the documentation (as many of us already know.. ) do not really explain xreg very well. Sincerely, Jose Capco ______________________________________________ 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.
