[R] arima and xreg

[David Stoffer]

You can have lagged inputs in the xreg statement, you just have to construct
the input matrix properly so the dimensions are the same, e.g.,

x = ts.intersect(mort, trend, part, lag(part,-4))
arima(x[,1],order=c(2,0,1), xreg=x[,2:4])

... and yes you have to worry about singularities or even multicolinearity
(near or computational singularity), e.g., this fails:

x = ts.intersect(mort, trend, part, part)
arima(x[,1],order=c(2,0,1), xreg=x[,2:4])
 



Jose Capco wrote:
> 
> 
> 
> On Sep 11, 6:24 am, David Stoffer <dsstof... at gmail.com> wrote:
>> Your model is close, but not correct... there are no t's on the
>> parameters
>> and the U's aren't lagged.
>>
>> You can find an ARMAX example on our "quick fix"
>> page:http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm. 
>> The
>> example is near the bottom and just above the spectral analysis example,
>> but
>> you may want to read the "regression with autocorrelated errors" example
>> first to get some background.
>>
>>
>>
> 
> Ok. so arima of R can only deal with unlagged inputs (thus xreg has
> the latest value in the equation). Your example was an ARX (no moving
> averages)
> here is the code of yoru example : armax.fit = arima(mort,
> order=c(2,0,0), xreg=cbind(trend, part))
> I guess I can change it to ARMAX if I use order=c(p,0,q)  =)
> 
> Now theres one thing that might be worth mentioning here though. The
> above can only work (I am guessing) if the input values (the columns
> of xreg) are uncorrelated (or what word do use for that, sorry Im a
> pure mathematician, not a statistician :p ). What I mean is that the
> matrix in which optim of R must be singular (otherwise I think, from
> my last try when using two equal valued columns in xreg, arima will
> complain that optim returns an infinity value). Is there a way to
> check if the xreg matrix have uncorrelated inputs and then just
> discard the column until xreg becomes uncorrelated? I'll do a few more
> experiment with xreg and report here.. Im doing this because the
> documentation (as many of us already know.. ) do not really explain
> xreg very well.
> 
> Sincerely,
> Jose Capco
> 
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> 
> 


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