are the carats in your notation meant to be time subscripts ? also, I think I know what a and b are meant to be ( the coefficients of the polynomaisl corresponding To the ar part of the model but correct me if I'm wrong ) but is there an ma piece to it also ? And I don't see an error term ?
I think you need to be clearer on your notation and write out the full model in terms of X(t) = whatever because then more people will reply. -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Laurent Duvernet Sent: Tuesday, March 13, 2007 10:36 AM To: r-help@stat.math.ethz.ch Subject: [R] estimating an ARIMA model with constraints Hi, I am trying to estimate an ARIMA model in the case where I have some specific knowledge about the coefficients that should be included in the model. Take a classical ARIMA (or even ARMA) model: P(B) X(t) = Q(B) epsilon(t), where X(t) is the data, epsilon is a white noise, B is the backward operator and P and Q are some polynoms. Additionally, assume that you know in advance how P and Q look like. Typically, P could be something like this: P(x) = (1 - a(1)*x - a(2)*x^2) * (1 - b(1)*x^23 - b(2)*x^24) * (1 - c(1)*x^168) (That is in the case of hourly data, with lags 23 and 24 corresponding to the day, and lag 168 for the week.) How do you estimate this kind of model with R? The arima() and arima0() functions in the stats package do not allow this kind of constraints on the polynoms. I've searched in the packages dedicated to time series analysis, but I have not found a solution. Has anyone an idea? Thanks in advance! Laurent Duvernet EDF R&D ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.