[R-SIG-Finance] ARIMA question
Yalla, Swaroop (FID)
Swaroop.Yalla at MorganStanley.com
Wed Nov 7 22:36:59 CET 2007
No I mean I get an error when I use arima.sim on my fitted model.
It works on models which don't have seasonality like
ARIMA(p,d,q)
But not on models of the type
ARIMA(p,d,q)X(P,D,Q)_S
-----Original Message-----
From: Jeff Ryan [mailto:jeff.a.ryan at gmail.com]
Sent: Wednesday, November 07, 2007 4:30 PM
To: Yalla, Swaroop (FID)
Cc: Nathan Bryant; r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] ARIMA question
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
> > > >> --------------------------------------------------------
> > > >>
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> >
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