On Thu, 2009-06-04 at 15:21 +0100, Daniel Mail wrote: <snip /> > Hello, > > I need to know how to import ARIMA coefficients. I already determined > the coefficients of the model with other software, but now i need to > do the forecast in R. <snip/> > > > > fit <- arima(x, order=c(1, 0, 1), fixed=c(-.172295, .960043, 0)) > > fit > > Call: > arima(x = x, order = c(1, 0, 1), fixed = c(-0.172295, 0.960043, 0)) > > Coefficients: > Error in se && nrow(x$var.coef) : invalid 'y' type in 'x && y'
Looks like this is a bug in print.Arima, as it assumes that x$var.coef
is a matrix or similar. In this case, it is actually
> mod2$var.coef
numeric(0)
> nrow(mod2$var.coef)
NULL
And the NULL is causing the error: [note 'se' is TRUE here]
> TRUE && NULL
Error in TRUE && NULL : invalid 'y' type in 'x && y'
The simple work around is just to call the print method explicitly and
set argument 'se' to be FALSE. This only seems to affect the print
method - you can use the predict method (?predict.Arima) to do your
forecasts.
Here is an example using dummy data so it is reproducible:
> set.seed(123)
> x <- cumsum(rnorm(1000))
> x <- as.ts(x)
> mod <- arima(x, order=c(1, 1, 1))
> mod
Call:
arima(x = x, order = c(1, 1, 1))
Coefficients:
ar1 ma1
0.6000 -0.6362
s.e. 0.2963 0.2855
sigma^2 estimated as 0.9814: log likelihood = -1408.14, aic = 2822.28
> ## note coefs - use them in a new fit as you were doing
> mod2 <- arima(x, order=c(1, 1, 1), fixed = c(0.6000,-0.6362))
> print(mod2, se = FALSE)
Call:
arima(x = x, order = c(1, 1, 1), fixed = c(0.6, -0.6362))
Coefficients:
ar1 ma1
0.6000 -0.6362
sigma^2 estimated as 0.9814: log likelihood = -1408.14, aic = 2818.28
> ## Now do a prediction - default is the 1-step ahead forecast:
> predict(mod2)
$pred
Time Series:
Start = 1001
End = 1001
Frequency = 1
[1] 16.15804
$se
Time Series:
Start = 1001
End = 1001
Frequency = 1
[1] 0.9906526
Although, you'd probably be better off doing the fit in R directly...
G
>
>
>
>
> I will be very pleased if someone help me.
--
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Dr. Gavin Simpson [t] +44 (0)20 7679 0522
ECRC, UCL Geography, [f] +44 (0)20 7679 0565
Pearson Building, [e] gavin.simpsonATNOSPAMucl.ac.uk
Gower Street, London [w] http://www.ucl.ac.uk/~ucfagls/
UK. WC1E 6BT. [w] http://www.freshwaters.org.uk
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