[R] Varma models in the dse package

Paul Gilbert pgilbert at bank-banque-canada.ca
Wed Nov 23 16:14:40 CET 2011


Your TSdata object dfdata as printed in your email looks a bit funny. It should be a list with a matrix of numeric data in the element named output: 

> dfdata <- TSdata(output=matrix(rnorm(200), 100,2))
> dfdata
output data:
       Series 1     Series 2
1    0.01905979 -0.096441240
2    0.73873854 -0.654558048

I'm just guessing that you specified this incorrectly somehow. If not, please try to give a reproducible example.


> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-
> project.org] On Behalf Of Tanja Krone
> Sent: November 22, 2011 10:36 AM
> To: r-help at r-project.org
> Subject: [R] Varma models in the dse package
> Hi,
> I tried to run the VARMA model in the dse package. I specified a model:
> > arma
> A(L) =
> 1+0.244L1    0+0.05L1
> 0-0.325L1    1-0.234L1
> B(L) =
> 1-0.277L1    0+0.211L1
> 0-0.206L1    1+0.238L1
> and have a TSdata object:
> > dfdata
> output data:
>   Series 1 Series 2
> 1 "difex2" "difem2"
> but I get this warning message:
> > estMaxLik(arma, dfdata)
> Error in l.ARMA(setArrays(Shape, coefficients = coefficients), data,
> result
> = "like",  :
>   NA/NaN/Inf in foreign function call (arg 14)
> In addition: Warning message:
> In l.ARMA(setArrays(Shape, coefficients = coefficients), data, result =
> "like",  :
>   NAs introduced by coercion
> bots series are the same length (69). Is there something I am missing?
> Kind regards and thanks in advance,
> Tanja
> 	[[alternative HTML version deleted]]
> ______________________________________________
> R-help at r-project.org 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.

La version française suit le texte anglais.


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