[R] Need help on ARIMA (time series analysis)

Gabor Grothendieck ggrothendieck at gmail.com
Sun Oct 16 23:05:34 CEST 2005


Regarding the loop, the code below:

>       ws <- i
>       we <- i+w-1
>       temp <- th16k[ws:we]

can be written as:

  temp <- th16k[seq(i, length = w)]

or you can get rid of the loop entirely using embed
or  using running in package gtools or rapply in the zoo package.


> park wrote:
> > Hi,
> >
> > I am so novice in using R. I have some problems in my R script below
> > which fits time series data and predict it one-step ahead.  Here is a
> > brief explanation on what I try to achieve
> >
> > Th16k is time series data (500 data points). The size of window for
> > fitting and predicting is 50 (data points). As you can easily discover
> > from my code,  (fixed) window is moving/sliding to get next one-step
> > ahead prediction. The predicted value will be saved in pth.
> >
> > The problem is,  every time I execute following script, I got error
> > saying
> >
> >
> >>source("C:\\R\\arima.R")
> >
> > Error in arima(temp, order = c(1, 0, 1)) :
> >         non-stationary AR part from CSS
> >
> > I think there should be better way to achieve this goal without using
> > for loop.  If you can share your knowledge, please advise me!!! :-)
> >
> > <-----------------------------------------------------------------------
> > ----------------------------->
> > w <- 50
> > pth <- th16k[1:w]
> > limit <- length(th16k)-w
> > for (i in 1:limit) {
> >       ws <- i
> >       we <- i+w-1
> >       temp <- th16k[ws:we]
> >       fit <- arima(temp, order=c(1, 0, 1))
> >       pred <- predict(fit, n.ahead=1)
> >       pth[i+w] <- pred$pred
> > }
> > plot(pth)
> > <-----------------------------------------------------------------------
> > ----------------------------->
> >
> >
> >       [[alternative HTML version deleted]]
> >
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