[R] AR1 model using ARIMA

T.Riedle tr206 at kent.ac.uk
Tue Jun 14 15:30:23 CEST 2016


Sorry, I forgot to attach the file.
________________________________________

 Dear R users,
I have not received any help regarding my problem.

The rolling window AR1 model returns an error if I run my code as follows:

data<-GSDAF[,2]
rollingarma<-rollapply(data,width=36,function(data) coef(arima(data,order=c(1,0,0))))
Error in arima(data, order = c(1, 0, 0)) :
non-stationary AR part from CSS

However, what is wrong with my code?

 Can I use the arma() function as alternative? In this case the code is

 rollingarma<-rollapply(data,width=36,function(data) coef(arma(data,order=c(1,0),include.intercept = FALSE)))

Unfortunately, I get following message:

 There were 50 or more warnings (use warnings() to see the first 50)

warnings()
Warning messages:
In optim(coef, err, gr = NULL, hessian = TRUE, ...) :
one-dimensional optimization by Nelder-Mead is unreliable:
use "Brent" or optimize() directly

How can I use Brent or optimize in this code?

 Thanks for your support.
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