[R] restrected arima models

Rui Barradas ruipbarradas at sapo.pt
Thu Jul 18 18:36:05 CEST 2013


Take a look at parameter 'fixed' of function arima. From the help page 
for arima():


optional numeric vector of the same length as the total number of 
parameters. If supplied, only NA entries in fixed will be varied."

Example use ('fixed' has length 7 because we must count the intercept term):

x <- ts(cumsum(rnorm(100)))

fit <- arima(x, order = c(6,0,0), fixed = c(0, 0, 0, NA, NA, NA, NA), 
transform.pars = FALSE)

Hope this helps,

Rui Barradas

Em 18-07-2013 16:14, george escreveu:
> Dear all,
> Does anyone know if it is possible to estimate restricted arima models using
> the arima command in R? For instance lets say I want arima(6,0,0) but where
> the first three ar parameters are restricted to zero, ie. ar(1)=ar(2)=ar(3)
> = 0, and only the last three are actually estimated.
> Any help will be much appreciated.
> george
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