Dear members,
I am using the forecast package for arfima
modelling. THe following is the code:
> arfima(ygrpch(OHLCDataEP[[1]]))
Call:
arfima(y = ygrpch(OHLCDataEP[[1]]))
*** Warning during (fdcov) fit: unable to compute correlation matrix; maybe
change 'h'
Coefficients:
d ma.ma1
0.1745253 0.1600765
sigma[eps] = 34.4493
a list with components:
[1] "log.likelihood" "n" "msg" "d"
"ar"
[6] "ma" "covariance.dpq" "fnormMin" "sigma"
"stderror.dpq"
[11] "correlation.dpq" "h" "d.tol" "M"
"hessian.dpq"
[16] "length.w" "residuals" "fitted" "call" "x"
[21] "series"
What does the warning say? Is it Ok to proceed with it if the correlation
matrix can't be caclulated? I just want the prediction, and forecast() is
working fine:
> forecast(arfima(ygrpch(OHLCDataEP[[1]])), h = 1)
Point Forecast Lo 80 Hi 80 Lo 95 Hi 95
188 26.01569 -17.96402 69.99539 -41.24547 93.27684
I just want the point forecast. Is there any problem with arfima() as I am
using it?
THanking you,
Yours sincerely,
AKSHAY M KULKARNI
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