[R] Bug in arima?
Prof Brian Ripley
ripley at stats.ox.ac.uk
Wed Apr 30 18:06:40 CEST 2003
It is backwards, but that doesn't seem to have caused the problem here.
On Wed, 30 Apr 2003, Rolf Turner wrote:
> Is it just me being lysdexic or is the help file saying things
> 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?
> Rolf Turner
> rolf at math.unb.ca
> R-help at stat.math.ethz.ch mailing list
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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