[R] ARMA

[Pete Brecknock]

boki2b wrote:
> 
> Hello,Could somebody tell me what is the difference between  theese 3
> calls of functionsarma(x,order=c(1,0)), arima(x,order=c(1,0,0))
> ar(x,order=1)?I expected same residuals of theese three models,but
> unexpectably for the first two R requiredinitial value of something
> (what?)...Thanks in advance! 
> 	[[alternative HTML version deleted]]
> 
> 
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> 

Firstly, all of the functions you mention can be explored in more detail by
typing ?xxx, where xxx is ar, arima or arma. Note, you will need the tseries
package to run the arma function. (require(tseries))

Secondly, there is some debate around interpretation of some of the output
from these functions. Check out one viewpoint at
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm (ISSUE 1: When is the
intercept the mean?) 

Finally, I have tried below to put the functions on a similar footing to
allow you to compare their output.

# create data
set.seed(12345)
d = rnorm(30)

library(tseries) # need for arma function

# 1. arma
# fits using conditional least squares, "intercept" is the "intercept"
arma(d,order=c(1,0)) 
>      ar1  intercept  
> -0.10566    0.07046 

# 2. arima
# "intercept" is the "mean", intercept derived as mean*(1-AR1)
arima(d,order=c(1,0,0),method="CSS")  
>         ar1  intercept
>      -0.1057     0.0638

So, intercept = 0.0638 * (1 + 0.1057) = 0.0705 ... same as arma above

# 3. ar
"intercept" is the "intercept"
ar(d,aic=FALSE, order.max=1,method="ols",intercept=TRUE, demean=FALSE) 
>      1  
> -0.1057  
> Intercept: -0.07054 (0.1731)

There is a nice document on CRAN that you may find useful. 
 
http://cran.r-project.org/doc/contrib/Ricci-refcard-ts.pdf

HTH

Pete


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