[R] ARIMA fitting
Hello, Im trying to fit an ARIMA process, using STATS package, arima function. Can I expect, that fitted model with any parameters is stationary, causal and invertible? Thanks __ 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.
Re: [R] ARIMA fitting
On Tue, 7 Aug 2007, [EMAIL PROTECTED] wrote: Hello, Im trying to fit an ARIMA process, using STATS package, arima function. Can I expect, that fitted model with any parameters is stationary, causal and invertible? Please read ?arima: it answers all your questions, and points out that the answer depends on the arguments passed to arima(). The posting guide did ask you to do this *before* posting: please study it more carefully. -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UKFax: +44 1865 272595__ 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] ARIMA() fitting with XREG
Hi R-helpers, I would like to derive a realistic R² between X(t)(time serie1) and Y(t)(time serie2) from a fitted ARIMA model. The actual ARIMA model is constructed like this; Y[t] = a[1]Y[t-1] + ... + a[p]Y[t-p] + k*X(t) *Y=Serie2 *X=Serie1=Xreg *AR(p=8) The correlation between X(t)(serie1) and Y(t)(serie2) is given by how a large part of the variance is explained: k*X(t)/a(p) (a(p)= AR(8)). If this is correct, how could I decompose the model to obtain this? Thanks a lot! Jan regressie1$arma ar ma sar sma period diff sdiff 8 0 0 0 360 2 ___ Jan Verbesselt Research Associate Lab of Geomatics and Forest Engineering K.U. Leuven Vital Decosterstraat 102. B-3000 Leuven Belgium Tel:+32-16-329750 Fax: +32-16-329760 http://gloveg.kuleuven.ac.be/ __ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
