[R-SIG-Finance] ARIMA question

[Jeff Ryan]

Do you have a particular version?  Mine does not have a method like that...

> x.model

Call:
arima(x = x, order = c(0, 0, 2))

Coefficients:
         ma1      ma2  intercept
      0.3812  -0.1138     0.0936
s.e.  0.0956   0.0862     0.2631

sigma^2 estimated as 4.318:  log likelihood = -215.15,  aic = 438.31
> class(x.model)
[1] "Arima"
> methods(fitted)
[1] fitted.default*         fitted.isoreg*          fitted.nls*
[4] fitted.quantmod*        fitted.smooth.spline*   fitted.values.quantmod*

   Non-visible functions are asterisked
> fitted(x.model)
NULL
>


On Nov 7, 2007 3:07 PM, Nathan Bryant <nbryant at optonline.net> wrote:
>
> There is a method called "fitted()" that applies to most model classes
> including Arima, which does the same thing.
>
>
> Jeff Ryan wrote:
> > I think it is as simple as backing out from the residuals:
> >
> > # an MA2 model
> > x <- arima.sim(list(ma=2),n=100)
> >
> > #Fitted as such...
> > x.model <- arima(x,c(0,0,2))
> >
> > # add the residuals to the original data
> > x.insample.fit <- x-residuals(x.model)
> >
> > # and you can even see them:
> > plot(x)
> > par(new=TRUE)
> > lines(x.insample.fit,col=3,lty=2)
> >
> > Jeff
> >
> >
> > On Nov 7, 2007 12:47 PM, Yalla, Swaroop (FID)
> > <Swaroop.Yalla at morganstanley.com> wrote:
> >
> >> Hi:
> >>
> >> I have another ARIMA question for R. I was finally able to use ARIMA
> >> modeling on my data. Now to forecast out of sample, we can use
> >> predict(fit, n.ahead = 10) type of command and thats fine- but how can I
> >> see the fit in-sample. I mean is there a easy way to just compare the
> >> actual data with the fitted model in-sample?
> >>
> >> thanks for all the help..
> >> Swaroop
> >> --------------------------------------------------------
> >>
> >> This is not an offer (or solicitation of an offer) to bu...{{dropped:24}}
> >>
> >> _______________________________________________
> >> R-SIG-Finance at stat.math.ethz.ch mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >> -- Subscriber-posting only.
> >> -- If you want to post, subscribe first.
> >>
> >>
> >
> > _______________________________________________
> > R-SIG-Finance at stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only.
> > -- If you want to post, subscribe first.
> >
> >
>
>