[R] Can someone please have a look at my query on stackoverflow ?

[Ashim Kapoor]

Dear Uwe and others,

Here is my query:

I am looking for a function which can:-

take a seasonal ARMA model

and return :-

the spectrum of the seasonal ARMA model.

I have seen:

library(astsa)
?arma.spec

However it's a bit clumsy to use arma.spec when my model has seasonal
ar / ma terms.

For example (from the help page of arma.spec) we have that, we may
compute the spectrum of a seasonal AR model like this:

Notice: How we have a seasonal AR term of order one,
which is being fed to arma.spec by converting the seasonal lag to a
non-seasonal lag:

arma.spec(ar=c(rep(0,11),.4), ma=.5, col=5, lwd=3, frequency=12)

I will illustrate my difficulty as follows:

> plot(AirPassengers)
> auto.arima(log(AirPassengers))
Series: log(AirPassengers)
ARIMA(0,1,1)(0,1,1)[12]

Coefficients:
          ma1     sma1
      -0.4018  -0.5569
s.e.   0.0896   0.0731

sigma^2 = 0.001371:  log likelihood = 244.7
AIC=-483.4   AICc=-483.21   BIC=-474.77

I do not know how to programmatically feed the above model to arma.spec.

I have tried:

auto.arima(log(AirPassengers))$coef
arma.spec(auto.arima(log(AirPassengers))$coef,frequency=12)

I manually convert the seasonal MA to non-seasonal MA model and give
it to arma.spec and I get a different picture.

arma.spec(ma=c(-.4,rep(0,10),-.55))

Hence I conclude that arma.spec does not understand seasonal models.

Query : How can I conveniently plot the spectrum of a seasonal ARMA process ?

Note : I wonder if there is a library which converts seasonal model to
non-seasonal model which perhaps can then be used with arma.spec.

Many thanks,
Ashim

On Tue, May 28, 2024 at 12:28 PM Uwe Ligges
<ligges using statistik.tu-dortmund.de> wrote:
>
>
>
> On 28.05.2024 06:41, Ashim Kapoor wrote:
> > Dear Sir,
> >
> > OK. I will migrate this query to stats.stackexchange.com.
>
> In any case, if you ask on the list, the question should be on the list.
> Personally, I do read mails, but rather not websites.
>
> Best,
> Uwe Ligges
>
>
>
>
>
>
> > Best,
> > Ashim
> >
> >
> > On Mon, May 27, 2024 at 8:28 PM David Winsemius <dwinsemius using comcast.net> wrote:
> >>
> >> If I had seen that post before it got a bounty, I would have voted to migrate it to https://stats.stackexchange.com since it is a request for advice on methods as well as an implicit request for a package recommendation.
> >>
> >> —
> >> David
> >> Sent from my iPhone
> >>
> >>> On May 27, 2024, at 5:40 AM, Ashim Kapoor <ashimkapoor using gmail.com> wrote:
> >>>
> >>> Dear experts,
> >>>
> >>> I am having difficulty with computing spectrum of seasonal ARMA models.
> >>>
> >>> My query is posted here :
> >>>
> >>> https://stackoverflow.com/questions/78526800/computing-the-spectrum-of-a-seasonal-model-in-r
> >>>
> >>> Will be grateful if someone has a look at it and responds.
> >>>
> >>> Many thanks,
> >>> Ashim.
> >>>
> >>>     [[alternative HTML version deleted]]
> >>>
> >>> ______________________________________________
> >>> R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> >>> 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.
> >>
> >
> > ______________________________________________
> > R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > 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.