[R] R: Apply a Seasonal ARMA process

[Rui Barradas]

Hello,

You have three parameters, two sar and one intercept.

arima(x, order=c(0,0,0), seasonal=list(order=c(2,0,0), period=4),
	transform.pars = FALSE, fixed = c(0.54, 0.5, rep(NA, 1)))


I also believe that the answer you got from Rolf is more to the point.
Try something along the lines he suggested.

Hope this helps,

Rui Barradas

Em 24-06-2013 10:34, Stefano Sofia escreveu:
> Thank you for your tips.
>
> I tried the code that you suggested, but there is a problem with the length of fixed.
> In the help page it is specified that the length of fixed must be total number of parameters.
> But in case of a Seasonal AR(2) model, which is the number of the parameters? I tried with length 4, 6, 8 but there always is the same error.
> And moreover, which is the order of its elements.
> Have you got some final hints about it?
>
> Thank you for your help
>
> Best regards,
>
> Stefano Sofia
>
> ________________________________________
> Da: Rui Barradas [ruipbarradas at sapo.pt]
> Inviato: venerdì 21 giugno 2013 16.37
> A: Stefano Sofia
> Oggetto: Re: [R] Apply a Seasonal ARMA process
>
> Hello,
>
> I think the correct way would be
>
> arima(my_ts, order=c(0,0,0), seasonal=list(order=c(2,0,0), period=4),
> transform.pars = FALSE, fixed = c(0.54, 0.5))
>
> Take a look at the help page for ?arima. You will see the description of
> argument 'fixed'. You will also see that 'n' is not an argument.
>
> Hope this helps,
>
> Rui Barradas
>
> Em 21-06-2013 14:48, Stefano Sofia escreveu:
>> Dear R users,
>> I have a seasonal time series of period 4 (my_ts).
>> I would like to apply to my_ts a Seasonal ARMA(2,0) process (only the seasonal part), with Seasonal AR coefficients respectively 0.54 and 0.5.
>> I tried to use the arima command from the stats package, but this code is not correct:
>>
>> arima(my_ts, order=c(0,0,0), seasonal=list(order=c(2,0,0), sar=c(0.54, 0.5), period=4), n=220)
>>
>> The error is:
>> "Error in optim(init[mask], armaCSS, method = optim.method, hessian = FALSE: initial value in 'vmmin' not finite".
>>
>> I am not even sure of the syntax about sar=c(0.54, 0.5).
>> I looked for this topic in the R archive, but I have not been able to find an example or a useful hint.
>> Could you please help me? Does arima handle seasonal ARMA processes? If yes, how? Is there a better specific package for that?
>>
>> Thank you for your help
>> Stefano Sofia
>>
>>
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