Spencer Graves
Samak, Vele [EQRE] wrote:
Anyone know how to do this? Thanks,
-----Original Message-----
From: Samak, Vele [EQRE] Sent: Monday, April 07, 2003 11:30 AM
To: '[EMAIL PROTECTED]'
Subject: [R] filtering ts with arima
Hi,
I have the following code from Splus that I'd like to migrate to R. So far, the only problem is the arima.filt function. This function allows me to filter an existing time-series through a previously estimated arima model, and obtain the residuals for further use. Here's the Splus code:
# x is the estimation time series, new.infl is a timeseries that contains new information # a.mle is estimated result (list) from arima.mle, (1,0,1) x (1,0,1)12 seasonal model mdl _ list(list(order=c(1,0,1)), list(order=c(1,0,1), period=12)) a.mle _ arima.mle(x, model = mdl)
# then, we get regular residuals:
new.pred _ arima.filt(new.infl, a.mle$model)$pred new.res _ new.infl - new.pred
The R code from library(ts) would be:
# new.infl is a timeseries # a.mle is estimated result (list) from arima.mle, (1,0,1) x (1,0,1)12 seasonal model a2.mle _ arima(x, order=c(1,0,1), seasonal=list(order=c(1,0,1), period=12), include.mean=F, method="ML")
new.infl ????
new.res _ new.infl - new.pred
What's the arima.filt equivalent in R: filter doesn't seem to take the coefficients for a seasonal model correctly, also predict isn't quite the answer? Help is appreciated. Thanks,
Vele Samak Vice President Global Quantitative Research Group CITIGROUP / Smith Barney 388 Greenwich St. 29th Floor New York, NY 10013 (212) 816-0379
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