[R] warnings in ARMA with other regressor variables
Jose Iparraguirre
Jose.Iparraguirre at ageuk.org.uk
Thu May 2 14:07:32 CEST 2013
Preetam,
Have a look at this post: http://stats.stackexchange.com/questions/26999/auto-arima-warns-nans-produced-on-std-error
José
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Preetam Pal
Sent: 02 May 2013 12:24
To: r-help at r-project.org
Subject: [R] warnings in ARMA with other regressor variables
Hi all,
I want to fit the following model to my data:
Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t
i.e. it is an ARMA(2,2) with some additional regressors X and M.
[Z_t's are the white noise variables]
So, I run the following code:
for (i in 1:rep) { index=sample(4,15,replace=T)
final<-do.call(rbind,lapply(index,function(i)
get(as.character(levels[as.numeric(levels)==i]))))
--------------------------------> this gives me my data set
l=final$l
g=final$g
model=arima0(l,order=c(2,0,2),xreg=g,method=("ML"))
}
I get warnings like:
Call:
arima0(x = l, order = c(2, 0, 2), xreg = g, method = ("ML"))
Coefficients:
ar1 ar2 ma1 ma2 intercept xreg
0.2549 -0.7722 -0.5586 0.3563 3e-04 0
s.e. 0.1072 0.0866 1.6725 0.2221 2e-04 NaN
sigma^2 estimated as 3.921e-06: log likelihood = 311.72, aic = -609.44
Warning message:
In sqrt(diag(x$var.coef)) : NaNs produced
What does this output mean?
How do I get rid of this and do my analysis properly?
Any help is welcome.
Thanks,
Preetam
--
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year, Room No. N-114
Statistics Division, C.V.Raman
Hall
Indian Statistical Institute, B.H.O.S.
Kolkata.
[[alternative HTML version deleted]]
______________________________________________
R-help at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Please donate to the Syria Crisis Appeal by text or online:
To donate £5 by mobile, text SYRIA to 70800. To donate online, please visit
http://www.ageinternational.org.uk/syria
Over one million refugees are desperately in need of water, food, healthcare, warm clothing,
blankets and shelter; Age International urgently needs your support to help affected older refugees.
Age International is a subsidiary charity of Age UK and a member of the Disasters Emergency Committee (DEC).
The DEC launches and co-ordinates national fundraising appeals for public donations on behalf of its member agencies.
Texts cost £5 plus one standard rate message. Age International will receive a minimum of £4.96.
More info at ageinternational.org.uk/SyriaTerms
-------------------------------
Age UK is a registered charity and company limited by guarantee, (registered charity number 1128267, registered company number 6825798).
Registered office: Tavis House, 1-6 Tavistock Square, London WC1H 9NA.
For the purposes of promoting Age UK Insurance, Age UK is an Appointed Representative of Age UK Enterprises Limited, Age UK is an Introducer
Appointed Representative of JLT Benefit Solutions Limited and Simplyhealth Access for the purposes of introducing potential annuity and health
cash plans customers respectively. Age UK Enterprises Limited, JLT Benefit Solutions Limited and Simplyhealth Access are all authorised and
regulated by the Financial Services Authority.
------------------------------
This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are
addressed. If you receive a message in error, please advise the sender and delete immediately.
Except where this email is sent in the usual course of our business, any opinions expressed in this email are those of the author and do not
necessarily reflect the opinions of Age UK or its subsidiaries and associated companies. Age UK monitors all e-mail transmissions passing
through its network and may block or modify mails which are deemed to be unsuitable.
Age Concern England (charity number 261794) and Help the Aged (charity number 272786) and their trading and other associated companies merged
on 1st April 2009. Together they have formed the Age UK Group, dedicated to improving the lives of people in later life. The three national
Age Concerns in Scotland, Northern Ireland and Wales have also merged with Help the Aged in these nations to form three registered charities:
Age Scotland, Age NI, Age Cymru.
More information about the R-help
mailing list