Hello,
Em 11-02-2013 01:26, Pete Brecknock escreveu:
malaka wrote
Hi,
I want to assign the ar1 , ma 1 and the intercept estimated by the
following code to three variables a, b and c respectively.
Can anyone help me with this please?
code:
a0 = 0.05; a1 = 0.1; b1 = 0.85
nu = rnorm(2500)
epsi = rep(0, 2500)
h = rep(0, 2500)
for (i in 2: 2500) { h[i] = a0 + a1 * epsi[i-1]^2 + b1 * h[i-1] ; epsi[i]
= nu[i] * sqrt(h[i])}
epsi = epsi[1501:2500]
epsi=epsi*epsi
arma(epsi,order=c(1,1))
You haven't specified a library for the arma function. Your code doesn't
work for me in the form you posted it.
If it's function arma(9 in package tseries, then your solution below
also works. tseries::arma returns an object of class "arma",
mod <- arma(epsi, order=c(1,1))
str(mod)
List of 12
$ coef : Named num [1:3] 0.971 -0.9214 0.0325
..- attr(*, "names")= chr [1:3] "ar1" "ma1" "intercept"
$ css : num 2416
$ n.used : int 1000
$ residuals : num [1:1000] NA 0.105 0.1747 0.0144 0.0435 ...
$ fitted.values : Time-Series [1:1000] from 1 to 1000: NA 0.175
0.208 0.243 0.269 ...
$ series : chr "epsi"
$ frequency : num 1
$ call : language arma(x = epsi, order = c(1, 1))
$ vcov : num [1:3, 1:3] 0.000203 -0.00028 -0.000224
-0.00028 0.00053 ...
..- attr(*, "dimnames")=List of 2
.. ..$ : chr [1:3] "ar1" "ma1" "intercept"
.. ..$ : chr [1:3] "ar1" "ma1" "intercept"
$ lag :List of 2
..$ ar: int 1
..$ ma: int 1
$ convergence : int 0
$ include.intercept: logi TRUE
- attr(*, "class")= chr "arma"
mod$coef is a named vector, with names "ar1", "ma1" and "intercept".
Hope this helps,
Rui Barradas
However, changing ...
arma(epsi, order=c(1,1)) to
mod = arima(epsi, order=c(1,0,1))
You can extract the parameters of interest using
a= mod$coef["ar1"]
b= mod$coef["ma1"]
c= mod$coef["intercept"]
HTH
Pete
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