[R] R for arma mdel with constraints on parameters
Prof Brian Ripley
ripley at stats.ox.ac.uk
Tue May 26 20:17:14 CEST 2009
See the 'fixed' argument, which allows you to fix ARIMA parameters at
any value, including zero.
On Tue, 26 May 2009, FangTonggen wrote:
> i am learning R recently and find it very helpful in time series model.
> In ARMA model, given (p,q) it can get the estimation of a[i] and
> b[j] easily with arima() function.
> X[t] = aX[t-1] + ... + a[p]X[t-p] + e[t] + be[t-1] + ... + b[q]e[t-q]
> but in my recent data model, i met a problem. In the ARMA model, p
> and q are fixed, but there are some constraints in the parameters
> a[i] and b[j], such as for some i (i<p), a[i]=0. my problem is how
> to get these parameters' estimation for these constrants with
> arima() function? or i need to write functions to realize it.
> Best regards,
> from Beijing
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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