[R] a question about arimax, please

[Jose Iparraguirre]

Also, the package caschrono is very good for Arima-X. 
If you read French, the author, Yves Aragon, wrote an excellent book describing its use: "Series temporelles avec R" (Springer).


Prof. José Iparraguirre
Chief Economist
Age UK


Age UK
Tavis House, 1- 6 Tavistock Square
London, WC1H 9NB

T 020 303 31482
E Jose.Iparraguirre at ageuk.org.uk
Twitter @jose.iparraguirre at ageuk


-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Erin Hodgess
Sent: 06 October 2014 23:58
To: peter dalgaard
Cc: R help
Subject: Re: [R] a question about arimax, please

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
>
>
>
>
>
>
>
>
>


--
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.

Age UK Love Later life

www.ageuk.org.uk

-------------------------------------------------------------------------------------------------------
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 for the purposes of introducing potential annuity customers.  Age Enterprises Limited and JLT 
Benefit Solutions Limited are both authorised and regulated by the Financial Services Authority.  

Charitable Services are offered through Age UK (the Charity) and commercial products and services 
are offered by the Charity’s subsidiary companies.  The Age UK Group comprises of Age UK, and its 
subsidiary companies and charities, dedicated to improving the lives of people in later life.  Our 
network includes the three national charities Age Cymru, Age NI and Age Scotland and more than
 160 local Age UK charities.
------------------------------
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.