[R] restrected arima models

[Prof Brian Ripley]

On 18/07/2013 16:14, george wrote:
> Dear all,
> Does anyone know if it is possible to estimate restricted arima models using
> the arima command in R? For instance lets say I want arima(6,0,0) but where
> the first three ar parameters are restricted to zero, ie. ar(1)=ar(2)=ar(3)
> = 0, and only the last three are actually estimated.

Yes.

> Any help will be much appreciated.

Have you read the help page?  Someone helped you by writing it (and 
indeed, by providing the facility, which few ARIMA-fitting programs have).

    fixed: optional numeric vector of the same length as the total
           number of parameters.  If supplied, only ‘NA’ entries in
           ‘fixed’ will be varied.  ‘transform.pars = TRUE’ will be
           overridden (with a warning) if any AR parameters are fixed.

E.g.

x <- rnorm(100)
arima(x, order=c(6,0,0), fixed = c(0,0,0,NA,NA,NA,NA))

Coefficients:
       ar1  ar2  ar3     ar4     ar5     ar6  intercept
         0    0    0  0.0423  0.0977  0.1299    -0.1462
s.e.    0    0    0  0.1065  0.1075  0.1059     0.1323


> george



-- 
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