[Rd] Fixing an only one coefficient in an ARIMA model

[Prof Brian Ripley]

On Tue, 28 Oct 2008, Yohann MOREAU wrote:

> Good afternoon,
>
> I would like fitting an ARIMA model without the first coefficient.
> For example, I want to fit an AR(3) like this :
> y[t]=a[1]*y[t-1]+a[2]*y[t-2]+a[3]*y[t-3], where a[1]=0.
> How can I specify it in the function "arima", if it is possible ?

RTFM time:

    fixed: optional numeric vector of the same length as the total
           number of parameters.  If supplied, only 'NA' entries in
           'fixed' will be varied.  'transform.pars = TRUE' will be
           overridden (with a warning) if any AR parameters are fixed.
           It may be wise to set 'transform.pars = FALSE' when fixing MA
           parameters, especially near non-invertibility.


>
> Thank you in advance.
> Yohann Moreau
> 	[[alternative HTML version deleted]]
>
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>

And this is a R-help question: please do study the posting guide.

-- 
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)
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