[R] a question about arimax, please

[Erin Hodgess]

This is great...thanks so much!


On Mon, Oct 6, 2014 at 5:56 PM, peter dalgaard <pdalgd at gmail.com> wrote:

> In package TSA?
>
> You may need to do some studying for yourself, this is complicated stuff.
>
> As I read the help page, the intention is that the transfer= bit is to
> allow a _covariate_ to affect the process in an ARMA-like fashion. So
> c(1,0) would be AR(1)-like which if I remember correctly corresponds to an
> exponentially decaying effect of instantaneous shocks to the system. And
> c(0,0) would be MA(0)-like, which I suppose would be an effect that only
> affected the same period as the instantaneous shock. In the example, we
> have the same covariate (Sept. 2001) contributing with both kinds of
> effect, so xtransf= has the same variable twice.
>
> -pd
>
> On 06 Oct 2014, at 19:11 , Erin Hodgess <erinm.hodgess at gmail.com> wrote:
>
> > Hello!
> > I have about the arimax function, please:
> > If you see the example page, you see the following:
> > # Exhibit 11.6
> > air.m1=arimax(log(airmiles),order=c(0,1,1),seasonal=list(order=c(0,1,1),
> > period=12),xtransf=data.frame(I911=1*(seq(airmiles)==69),
> > I911=1*(seq(airmiles)==69)),
> > transfer=list(c(0,0),c(1,0)),xreg=data.frame(Dec96=1*(seq(airmiles)==12),
> > Jan97=1*(seq(airmiles)==13),Dec02=1*(seq(airmiles)==84)),method='ML')
> > Now the part that I am puzzled about the "transfer" argument, please. It
> is
> > supposed to be the MA order and the AR order, respectively. However, the
> AR
> > order is 0. Should that be reversed, please?
> > Thanks,
> > Erin.
> >
> > --
> > Erin Hodgess
> > Associate Professor
> > Department of Mathematical and Statistics
> > University of Houston - Downtown
> > mailto: erinm.hodgess at gmail.com
> >
> >       [[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.
>
> --
> Peter Dalgaard, Professor,
> Center for Statistics, Copenhagen Business School
> Solbjerg Plads 3, 2000 Frederiksberg, Denmark
> Phone: (+45)38153501
> Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com
>
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-- 
Erin Hodgess
Associate Professor
Department of Mathematical and Statistics
University of Houston - Downtown
mailto: erinm.hodgess at gmail.com

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