[R] restrected arima models
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
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,
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.
> View this message in context: http://r.789695.n4.nabble.com/restrected-arima-models-tp4671847.html
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> and provide commented, minimal, self-contained, reproducible code.
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