[R-SIG-Finance] ARIMA question

Jeff Ryan jeff.a.ryan at gmail.com
Wed Nov 7 22:30:19 CET 2007


The problem is...?  The arima.sim was only for demonstration purposes
- it will work on any arima object.  Or am I missing your problem.

If you just want seasonal data there are series to be found out there
to 'practice' on...


On Nov 7, 2007 3:22 PM, Yalla, Swaroop (FID)
<Swaroop.Yalla at morganstanley.com> wrote:
> I am running into yet another problem - my model is a seasonal ARIMA -
> and arima.sim ONLY applies to non-seasonal ARIMA models.
>
> Swaroop
>
> -----Original Message-----
> From: Jeff Ryan [mailto:jeff.a.ryan at gmail.com]
> Sent: Wednesday, November 07, 2007 4:21 PM
> To: Nathan Bryant
> Cc: Yalla, Swaroop (FID); r-sig-finance at stat.math.ethz.ch
> Subject: Re: [R-SIG-Finance] ARIMA question
>
>
> Actually there is one for the tseries class "arma" NOT "Arima" from
> stats.
>
> > methods(fitted)
> [1] fitted.arma*            fitted.default*         fitted.garch*
> [4] fitted.isoreg*          fitted.nls*             fitted.quantmod*
> [7] fitted.smooth.spline*   fitted.values.quantmod*
>
>    Non-visible functions are asterisked
>
> > search()
>  [1] ".GlobalEnv"        "package:tseries"   "package:quadprog"
>  [4] "package:quantmod"  "package:Defaults"  "package:zoo"
>  [7] "package:stats"     "package:graphics"  "package:grDevices"
> [10] "package:utils"     "package:datasets"  "package:methods"
> [13] "Autoloads"         "package:base"
> >
>
> Jeff
>
> On Nov 7, 2007 3:17 PM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
> > 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.
> > > >
> > > >
> > >
> > >
> >
> --------------------------------------------------------
>
>
> This is not an offer (or solicitation of an offer) to buy/sell the securities/instruments mentioned or an official confirmation.  Morgan Stanley may deal as principal in or own or act as market maker for securities/instruments mentioned or may advise the issuers.  This is not research and is not from MS Research but it may refer to a research analyst/research report.  Unless indicated, these views are the author's and may differ from those of Morgan Stanley research or others in the Firm.  We do not represent this is accurate or complete and we may not update this.  Past performance is not indicative of future returns.  For additional information, research reports and important disclosures, contact me or see https://secure.ms.com/servlet/cls.  You should not use e-mail to request, authorize or effect the purchase or sale of any security or instrument, to send transfer instructions, or to effect any other transactions.  We cannot guarantee that any such requests received via e-mail will be processed in a timely manner.  This communication is solely for the addressee(s) and may contain confidential information.  We do not waive confidentiality by mistransmission.  Contact me if you do not wish to receive these communications.  In the UK, this communication is directed in the UK to those persons who are market counterparties or intermediate customers (as defined in the UK Financial Services Authority's rules).
>



More information about the R-SIG-Finance mailing list