Dear R users,
I have not received any help regarding my problem. The rolling window AR1 model
returns an error if I run my code as follows:
rollingarma<-rollapply(data,width=36,function(data)
coef(arima(data,order=c(1,0,0))))
Error in arima(data, order = c(1, 0, 0)) :
non-stationary AR part from CSS
However, what is wrong with my code?
Can I use the arma() function as alternative? In this case the code is
rollingarma<-rollapply(data,width=36,function(data)
coef(arma(data,order=c(1,0),include.intercept = FALSE)))
There were 50 or more warnings (use warnings() to see the first 50)
> warnings()
Warning messages:
1: In optim(coef, err, gr = NULL, hessian = TRUE, ...) :
one-dimensional optimization by Nelder-Mead is unreliable:
use "Brent" or optimize() directly
In this case, I get a warning message. How can I use Brent or optimize in this
code?
Thanks for your support.
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