[R] Bug in arima?
Rolf Turner
rolf at math.unb.ca
Wed Apr 30 17:37:10 CEST 2003
Is it just me being lysdexic or is the help file saying things
backwards???
Brian Ripley wrote:
> Here's a reproducible example (R 1.7.0)
>
> set.seed(1)
> x <- rnorm(100)
> arima(x, order=c(7, 1, 0), fixed = c(NA, NA, NA, 0, 0, 0, NA),
> transform.pars = FALSE)
>
> Coefficients:
> ar1 ar2 ar3 ar4 ar5 ar6 ar7
> -0.6838 -0.4126 -0.2236 0 0 0 0.0454
> s.e. 0.0986 0.1115 0.0988 0 0 0 0.0843
>
> and you did not set transform.pars.
>
> Looks like the comment
>
> fixed: optional numeric vector of the same length as the total
> number of parameters. If supplied, only non-`NA' entries in
> `fixed' will be varied. `transform.pars = TRUE' will be
> overridden if any AR parameters are fixed.
>
> has been copied from help(arima0) and is unimplemented in arima.
Is it not the case that the parameters corresponding to ***NA***
entries in ``fixed'' are being ``varied'' (estimated) and those
corresponding to ***non-NA*** values are indeed fixed --- at the
given non-NA value?
cheers,
Rolf Turner
rolf at math.unb.ca
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