[R] Fitting Arima Models and Forecasting Using Daily Historical Data

Duncan Murdoch murdoch.duncan at gmail.com
Tue Sep 10 00:30:55 CEST 2013


On 13-09-09 6:14 PM, Paul Bernal wrote:
> Dear Mr. Brian,
>
> What is the ISO 8601 standard for dates?

http://lmgtfy.com/?q=ISO+8601

Duncan Murdoch

>
> Excuse my ignorance and best regards,
>
> Paul
>   El 09/09/2013 16:41, "Prof Brian Ripley" <ripley at stats.ox.ac.uk> escribió:
>
>> On 09/09/2013 20:36, Paul Bernal wrote:
>>
>>> Hello everyone,
>>>
>>> I was trying to fit an arima model to a daily historical data, but, for
>>> some reason, havent been able to.
>>>
>>> I basically have 212 observations (from 12/1/2012 to 06/30/2013)
>>> containing
>>>
>>
>> Those dates are not in a standard format: ISO 8601 is preferred.
>>
>>   the number of transits for a particular vessel.
>>>
>>
>> Which seems to be less than a year and you are trying to fit a seasonally
>> differenced model with period 365.  So I guess there are no pairs of
>> observations a year apart.
>>
>> This is not really an R issue: you need to get basic advice on time-series
>> modelling.
>>
>>   The following messages are produced by R:
>>>
>>> dailytrans.fit<-arima(**dailytrans$transits, order=c(0,1,2),
>>> seasonal=list(order=c(0,1,2), period=365), include.mean=FALSE)
>>> Error in arima(dailytrans$transits, order = c(0, 1, 2), seasonal =
>>> list(order = c(0,  :
>>>     too few non-missing observations
>>>
>>>> dailytrans.fit<-arima(**dailytrans$transits, order=c(0,1,2),
>>>>
>>> seasonal=list(order=c(0,1,2), period=200), include.mean=FALSE)
>>> Error in makeARIMA(trarma[[1]], trarma[[2]], Delta, kappa) :
>>>     maximum supported lag is 350
>>>
>>> Then I tried the auto.arima function but the following happened:
>>>
>>
>> Which is not part of R.
>>
>>   fit<-auto.arima(dailytrans$**transits)
>>>
>>> Warning in if (class(fit) != "try-error") offset <- -2 * fit$loglik -
>>> length(x) *  :
>>>
>>>     the condition has length > 1 and only the first element will be used
>>>
>>> If anyone could give me some guidance I will really truly appreciate it,
>>>
>>>
>>> Best regards,
>>>
>>>
>>> Paul
>>>
>>
>>
>>
>> --
>> Brian D. Ripley,                  ripley at stats.ox.ac.uk
>> Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~**ripley/<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, UK                Fax:  +44 1865 272595
>>
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>>
>
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>
>
>
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