[Rd] arima problems when using argument fixed=
Prof Brian Ripley
ripley at stats.ox.ac.uk
Sun May 23 08:27:20 CEST 2004
I don't see your point here. If you fix a value, it is fixed and the
initial value you give is irrelevant. That is stated quite clearly
fixed: optional numeric vector of the same length as the total
number of parameters. If supplied, only 'NA' entries in
'fixed' will be varied.
It looks like you have misread that.
On Sun, 2 May 2004 kjetil at acelerate.com wrote:
> As I am reading ?arima, only NA entries in the argument fixed=
> imports. The following seems to indicate otherwise:
What does `imports' mean? That's not on the help page.
>
>
>
> x <- arima.sim(model=list(ar=0.8), n=100) + (1:100)/50
> > t <- 1:100
> > mod1 <- lm(x ~ t)
> >
> > init1 <- c(0, coef(mod1)[2])
> > fixed1 <- c(as.numeric(NA), 0)
> >
> > arima(x, order=c(1,0,0), xreg=t, include.mean=FALSE, init=init1,
> fixed=fixed1)
>
> Call:
> arima(x = x, order = c(1, 0, 0), xreg = t, include.mean = FALSE,
> fixed = fixed1,
> init = init1)
>
> Coefficients:
> ar1 t
> 0.9281 0
> s.e. 0.0357 0
>
> sigma^2 estimated as 0.9186: log likelihood = -138.64, aic = 281.28
> >
> > init2 <- init1
> > init2[2] <- 0
> >
> > fixed2 <- init1
> > fixed2[1] <- as.numeric(NA)
> >
> > arima(x, order=c(1,0,0), xreg=t, include.mean=FALSE, init=init2,
> fixed=fixed2)
>
> Call:
> arima(x = x, order = c(1, 0, 0), xreg = t, include.mean = FALSE,
> fixed = fixed2,
> init = init2)
>
> Coefficients:
> ar1 t
> 0.7888 0.0377
> s.e. 0.0593 0.0000
>
> sigma^2 estimated as 0.8452: log likelihood = -133.97, aic = 271.94
> >
>
> > fixed1
> [1] NA 0
> > fixed2
> t
> NA 0.03767406
>
> > arima(x, order=c(1,0,0), xreg=t, include.mean=FALSE, init=init2,
> fixed=fixed1)
>
> Call:
> arima(x = x, order = c(1, 0, 0), xreg = t, include.mean = FALSE,
> fixed = fixed1,
> init = init2)
>
> Coefficients:
> ar1 t
> 0.9281 0
> s.e. 0.0357 0
>
> sigma^2 estimated as 0.9186: log likelihood = -138.64, aic = 281.28
--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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