[R] Fixed parameters in an AR (or arima) model

[Prof Brian Ripley]

On Wed, 14 Jan 2004, Jenný Brynjarsdóttir wrote:

> Hello
> 
> I want to fit an AR model were two of the coefficients are fixed to zero
> (the second and third ar-coefficients).
> 
> I used the "arima" function with the "fixed" argument but the ar3
> coefficient is not set to zero:

See the help page: you have forgotten about transform.pars. In the current
version of R (1.8.1) this works for me, with a warning, so I surmise your
version is not the current one (indeed looks like it is 1.7.0 or earlier).

> Y <- rnorm(23)
> arima(Y, order=c(4,0,0), xreg=1:23, fixed=c(NA,0,0,NA,NA,NA))

Call:
arima(x = Y, order = c(4, 0, 0), xreg = 1:23, fixed = c(NA, 0, 0, NA, NA, 
NA))

Coefficients:
          ar1  ar2  ar3      ar4  intercept    1:23
      -0.4515    0    0  -0.0415    -0.3711  0.0236
s.e.   0.2414    0    0   0.2336     0.1991  0.0147

sigma^2 estimated as 0.4303:  log likelihood = -23.05,  aic = 56.11
Warning message:
some AR parameters were fixed: setting transform.pars = FALSE in: arima(Y, 
order = c(4, 0, 0), xreg = 1:23, fixed = c(NA, 0, 0,

If you really have only 23 observations you are expecting a lot here!

> 
> ==============================================
> > arima(Y, order=c(4,0,0), xreg=1:23, fixed=c(NA,0,0,NA,NA,NA))
> 
> Call:
> arima(x = Y, order = c(4, 0, 0), xreg = 1:23, fixed = c(NA, 0, 0, NA, NA,
> NA))
> 
> Coefficients:
>          ar1  ar2     ar3      ar4  intercept     1:23
>        0.5370    0  0.4338  -0.8078     5.2991  -0.0421
> s.e.  0.0735    0  0.0000   0.1096     0.1081   0.0079
> 
> sigma^2 estimated as 0.02665:  log likelihood = 6.77,  aic = -3.54
> ===============================================
> 
> Why?
> 
> Thanks,
> Jenný Brynjarsdóttir


-- 
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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