Hi,

 

i am trying to fit a simple arma(p,q) model using the fArma package and the
armaFit function therein. 

 

 

armaFit(aktie ~ arima(5,0,5), aktie, method = "mle", include.mean = FALSE,
fixed = NULL, description = "ARMA(p,q)")

 

aktie is a numeric vector of length 250 (daily returns of a stock). The
function generates some output, however it also includes

some warning message (see below). Everything ok or am I missing out on
something? Thanks in advance!

 

"Title:

 ARIMA Modelling 

 

Call:

 armaFit(formula = aktie ~ arima(5, 0, 5), data = aktie, method = "mle", 

    include.mean = FALSE, fixed = NULL, description = "ARMA(p,q) Modell
Optimierung")

 

Model:

 ARIMA(5,0,5) with method: CSS-ML

 

Coefficient(s):

     ar1       ar2       ar3       ar4       ar5       ma1       ma2
ma3       ma4       ma5  

 0.23733   0.08860   0.28411  -0.11786  -0.77622  -0.26711  -0.04569
-0.20281   0.06208   0.79793  

 

Description:

 ARMA(p,q) Modell Optimierung 

 

Warning messages:

1: In arima(x = x, order = order, method = method[1], include.mean =
include.mean,  :

  possible convergence problem: optim gave code=1

2: In sqrt(diag(fit$var.coef)) : NaNs have been generated"


	[[alternative HTML version deleted]]

