[R] interrupted time series analysis using ARIMA models
spencer.graves at pdf.com
Sat Mar 4 01:02:39 CET 2006
Does the following illustrate the kind of interevention model you want
IntReg <- cbind(It=(1:48)>20, It.w=((1:48)>20)*(1:48),
It.lh=((1:48)>20)*c(0, lh[-48]) )
arima(lh, order = c(1,0,0), xreg=IntReg)
hope this helps.
> Hi R-users,
> I am using arima to fit a time series. Now I
would like to include an intervention component
"It (0 before intervention, 1 after)" using
different types of impacts, that is, not only
trying the simple abrupt permanent impact (yt =
w It ) with the xreg option but also trying with
a gradual permanent impact (yt= d * yt-1 + w * It ),
following the filosophy of Box and Tiao (1975).
Intervention analysis with applications to economic
and environmental problems. JASA 70: 70-92.
> Does anybody know where could I find how to
incorporate them using the arima comand (or other),
or a statistical package which can incorporate it?
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