Re: [R] Box.test degrees of freedom

I believe tsdiag() uses the correct degrees of freedom in applying Box.test, but the graphic shows "lag" on the horizontal axis when it should display "degrees of freedom". raf.rossignol wrote: > > Hello, > > Prof Brian Ripley wrote: >> >> I think you are referring to its application to t

Re: [R] Box.test degrees of freedom

/Rissues.htm along with some work-arounds over here: http://www.stat.pitt.edu/stoffer/tsa2/Examples.htm David Stoffer wrote: > > I believe tsdiag() uses the correct degrees of freedom in applying > Box.test, but the graphic shows "lag" on the horizontal axis when it > shou

Re: [R] Box.test degrees of freedom

y Box and Pierce (?Box.test for the reference). By the way, you're not alone, Minitab makes the same mistake you did. raf.rossignol wrote: > > > > David Stoffer wrote: >> >> I stand corrected. I thought I checked this a long time ago, but >> apparently

[R] Multiple time series and their names

Suppose I have multiple time series with names for each one, for example, x <- ts(matrix(rnorm(30,0,1),10,3), names=c("Juan", "Tuey", "Trey"), frequency=4) So now, as I start to explore these series, if I do everything at once, the names stay attached to the series. For example, plot(x) # gives

Re: [R] Multiple time series and their names

) -0.02617545 > 1(4) -0.45053564 > 2(1) 0.15173749 > 2(2) 1.38545761 > 2(3) 2.11594058 > 2(4) -0.84970010 > 3(1) -0.05944844 > 3(2) 1.27543030 >> tsp(x) > [1] 1.00 3.25 4.00 >> tsp(as.ts(as.zoo(x))) > [1] 1.00 3.25 4.00 > > > On Fri, Oct 2, 2009

Re: [R] Multiple time series and their names

That info along with drop=FALSE seems to be a reasonable hack. Thanks again- David Gabor Grothendieck wrote: > > You can use names using your example ts series like this > > x[, "Juan"] > > > On Sat, Oct 3, 2009 at 11:04 AM, David Stoffer > wrote: &g

Re: [R] arima, xreg, and the armax model

Hi Marc- I have been [and am] extremely busy and haven't had much time to be a playeR (lately I've become more of a moveR and shakeR ... some say more of a boozeR and a loseR ... it's all prespective :). I've updated the web page with a little more info, but when I find the time I'll put up some

Re: [R] Is it possible to make a matrix to start at row 0?

bogdanno-2 wrote: > > I want to make the matrix to be indexed from row (column) 0, not 1 > Can I do that? How? > Thanks > > __ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http

Re: [R] Kalman filter

It sounds like you've looked at the DLM, DSE, and SSPIR packages. If not, then certainly check them out. Also, we have code for filtering, smoothing and estimation in our text- go to www.stat.pitt.edu/stoffer/tsa3/ and look at the code for chapter 6. There's not a package for the text, but all

Re: [R] CCF and missing values.

combine them and then use acf: x <- ts(rnorm(10)) y <- ts(x+ rnorm(10)) u <- ts.union(x, y) (acf(u, na.action=na.pass)) I don't know if it's correct, but it gives an answer... I'm too afraid to check if it's correct. -- View this message in context: http://r.789695.n4.nabble.com/CCF-and-mis

Re: [R] estimate phase shift between two signals

help(spec.pgram) - then look at the examples at the bottom of the page Dylan Beaudette-3 wrote: > > Hi, > > Are there any functions in R that could be used to estimate the > phase-shift > between two semi-sinusoidal vectors? Here is what I have tried so far, > using > the spectrum() functio

[R] Comparing complex numbers

Is there an easy way to compare complex numbers? Here is a small example: > (z1=polyroot(c(1,-.4,-.45))) [1] 1.11-0i -2.00+0i > (z2=polyroot(c(1,1,.25))) [1] -2+0i -2+0i > x=0 > if(any(identical(z1,z2))) x=99 >x [1] 0 # real and imaginary parts: >Re(z1); Im(z1) [1]

Re: [R] Comparing complex numbers

t; print("ouch") ... thanks again for your help. Duncan Murdoch-2 wrote: > > On 7/11/2008 11:51 AM, David Stoffer wrote: >> Is there an easy way to compare complex numbers? >> >> Here is a small example: >> >>> (z1=polyroot(c(1,-.4,-.45))) >> [1

Re: [R] cross-correlation lag.plot?

http://www.stat.pitt.edu/stoffer/tsa2/Examples.htm tom soyer wrote: > > Hi, > > Does anyone know if R has a function that is similar to lag.plot but > instead > of auto-correlation, it plots cross-correlation with lags? > > Thanks, > > -- > Tom > > [[alternative HTML version deleted]

Re: [R] arima and xreg

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 e

Re: [R] arima and xreg

multicolinearity (near or computational singularity), e.g., this fails: x = ts.intersect(mort, trend, part, part) arima(x[,1],order=c(2,0,1), xreg=x[,2:4]) Jose Capco wrote: > > > > On Sep 11, 6:24 am, David Stoffer <[EMAIL PROTECTED]> wrote: >> Your model is close, but

Re: [R] Help with 'spectrum'

Kevin- this is a simple rescaling of the axes so that the "area under the curve" remains constant (and is half of the variance since you only look at the positive frequencies). In this case, freq(x) = 1/dx, where dx is the time between points. It is basically a graphic device so that you get p

Re: [R] Kalman Filter

Vladimir- there are at least 3 packages that will facilitate state space modeling: http://cran.r-project.org/src/contrib/Descriptions/dlm.html DLM , http://cran.r-project.org/src/contrib/Descriptions/dse.html DSE , and http://cran.r-project.org/src/contrib/Descriptions/sspir.html SSPIR . In addi

Re: [R] Need help for calculating cross-correlation between 4 multivariate time series data

You can use acf(), but it will be messy and the labeling of the plots is confusing and perhaps misleading... check out issue number 4 at http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm I would recommend setting up a grid of the ccfs and you could automate this (i.e., write a loop) if need be

[R] array in version 2.8.0

What happened? TIA. In version 2.7.x: > (x <- array(1:4, c(2,2))) [,1] [,2] [1,]13 [2,]24 > as.array(x) [,1] [,2] [1,]13 [2,]24 In version 2.8.0: > (x <- array(1:4, c(2,2))) [,1] [,2] [1,]13 [2,]24 > as.array(x) Error: evaluati

Re: [R] array in version 2.8.0

redefined "as.array" in my carelessness. Sorry for waking everybody up. Rolf Turner-3 wrote: > > > On 3/11/2008, at 2:11 PM, David Stoffer wrote: > >> >> What happened? TIA. >> >> In version 2.7.x: >> >>> (x <- array(1:4, c(2,2)

Re: [R] "xreg" in ARIMA modelling.

The help file states: "The exact likelihood is computed via a state-space representation of the ARIMA process, and the innovations and their variance found by a Kalman filter." It is possible to include exogenous variables (xreg) this way, but one can only assume this is done [only one person kn

Re: [R] Spectral Analysis of Time Series in R

You can do (1) and (2) [with some additional coding] using mvspec.R, which you can download from http://www.stat.pitt.edu/stoffer/tsa2/chap7.htm ... scroll down to the Spectral Envelope section and you'll find it there. You can look at the top part of the examples to get an idea of how to use mvs