Thanks

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On 19/07/2013, at 1:43 AM, "Prof Brian Ripley [via R]" <ml-node+s789695n4671862h84@n4.nabble.com> wrote:

> On 18/07/2013 16:14, george wrote: 
> > Dear all, 
> > Does anyone know if it is possible to estimate restricted arima models using 
> > the arima command in R? For instance lets say I want arima(6,0,0) but where 
> > the first three ar parameters are restricted to zero, ie. ar(1)=ar(2)=ar(3) 
> > = 0, and only the last three are actually estimated. 
> 
> Yes. 
> 
> > Any help will be much appreciated. 
> 
> Have you read the help page?  Someone helped you by writing it (and  
> indeed, by providing the facility, which few ARIMA-fitting programs have). 
> 
>     fixed: optional numeric vector of the same length as the total 
>            number of parameters.  If supplied, only ‘NA’ entries in 
>            ‘fixed’ will be varied.  ‘transform.pars = TRUE’ will be 
>            overridden (with a warning) if any AR parameters are fixed. 
> 
> E.g. 
> 
> x <- rnorm(100) 
> arima(x, order=c(6,0,0), fixed = c(0,0,0,NA,NA,NA,NA)) 
> 
> Coefficients: 
>        ar1  ar2  ar3     ar4     ar5     ar6  intercept 
>          0    0    0  0.0423  0.0977  0.1299    -0.1462 
> s.e.    0    0    0  0.1065  0.1075  0.1059     0.1323 
> 
> 
> > george 
> 
> 
> 
> -- 
> Brian D. Ripley,                  [hidden email] 
> Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
> University of Oxford,             Tel:  +44 1865 272861 (self) 
> 1 South Parks Road,                     +44 1865 272866 (PA) 
> Oxford OX1 3TG, UK                Fax:  +44 1865 272595 
> 
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