Re: [R] Manually reconstructing arima model from coefficients

2012-04-20 Thread R. Michael Weylandt
Ahh, I understand -- unfortunately, I'm not aware of an easy way to do this so you'll have to hack your own: this doesn't look too hard however, if you call getAnywhere(predict.Arima) you can get the prediction scheme R uses. It seems that most of the heavy lifting is already in C so you'd probab

Re: [R] Manually reconstructing arima model from coefficients

2012-04-17 Thread Sergey Samsonov
Michael My final goal is to perform forecasting in real time. My historical data that is used for training consist of about 2000 samples. Fitting ARIMA model x.fit<-arima(x, order = c(5,0,0), seasonal = list(order=c(0,0,1))) takes about 3-5 minutes, often I do not have so much time between rece

Re: [R] Manually reconstructing arima model from coefficients

2012-04-17 Thread R. Michael Weylandt
What exactly do you mean by "apply" it to a different data set? Unlike regular regressions, time series models don't (generally) use new data to make forecasts ... By the way, this is a good guide to the time series functionality available in R: http://cran.r-project.org/web/views/TimeSeries.html

[R] Manually reconstructing arima model from coefficients

2012-04-17 Thread sergey777
Colleagues I am a new to R but already love it. I have the following problem: I fitted arima model to my time series like this (please ignore modeling parameters as they are not important now): x = scan("C:/data.txt") x = ts(x, start=1, frequency=1) x.fit<-arima(x, order = c(1,0,0), seasonal = l