From: Joe Byers <joe-byers_at_utulsa.edu>

Date: Sat 30 Sep 2006 - 00:04:15 GMT

R-help@stat.math.ethz.ch 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. Received on Sat Sep 30 10:08:44 2006

Date: Sat 30 Sep 2006 - 00:04:15 GMT

Spencer,

Thank you for taking time to reply and offer suggestions. garchFit does not allow 'formula.mean=~z+arma(p, q)', nor does it allow xreg=(x,y) options. Any thing is xreg is ignored with a warming or error.

I have debugged garchFit and I know where the code should be modified to implement other exogenous variable in the mean equation. Because mine is a NL mean equation I was looking at nls. You are correct, a simpler equation that would operate like the xreg for armaFit, would be the place to start. I also can use debug on my equation for the nls method to try and understand the model.frame and environment material. Thank you for the debug suggestion.

Good luck

Joe

Spencer Graves wrote:

> I haven't seen any replies to this post, so I will offer a couple

*> of comments.
**> First, your example is entirely too complicated and not self
**> contained for me to say much in the limited time I have for this. I
**> suggest you start by splitting your problem into several steps. For
**> example, will 'garchFit' allow 'formula.mean' to be something other
**> than '~arma(p, q)', where p and q are nonnegative integers? If no, I
**> suggest you start by trying to produce your own modification to
**> 'garchFit' so it will accept something like 'formula.mean=~z+arma(p,
**> q)'; I suggest you give your local copy a different name like
**> 'garchFitZ'. Second, I suggest you cut your example data down to a
**> minimum, e.g, 9 or 20 observations, just enough so the algorithm won't
**> die for some reason that would not occur with a larger data set but
**> small enough so you can quickly print out and study every object the
**> 'garchFit' algorithm produces.
**> Second, I suggest you use 'debug' to walk through your local
**> version of 'garchFit' line by line. I've found this to be a very
**> powerful way to learn what happens in the internal environment of a
**> function.
**> If you get stuck trying this, please submit another post
**> including commented, minimal, self-contained, reproducible code, as
**> suggested in the posting guide 'www.R-project.org/posting-guide.html'.
**> Hope this helps. Spencer Graves
**>
**> and provide commented, minimal, self-contained, reproducible code.
**>
**>
**>
**> Joe W. Byers wrote:
**>> I could use some help understanding how nls parses the formula argument
**>> to a model.frame and estimates the model. I am trying to utilize the
**>> functionality of the nls formula argument to modify garchFit() to handle
**>> other variables in the mean equation besides just an arma(u,v)
**>> specification.
**>>
**>> My nonlinear model is
**>> y<-nls(t~a*sin(w*2*pi/365*id+p)+b*id+int,data=t1,
**>> start=list(w=.5,a=.1,p=.5,b=init.y$coef[2],int=init.y$coef[1] ),
**>> control=list(maxiter=1000000,minFactor=1e-18))
**>> where t is change in daily temperatures, id is just a time trend and the
**>> a*sin is a one year fourier series.
**>>
**>> I have tried to debug the nls code using the following code
**>> t1<-data.frame(t=as.vector(x),id=index(x))
**>> data=t1;
**>> formula <- as.formula(t ~ a *sin(w *2* pi/365 * id + p) + b * id + int);
**>> varNames <- all.vars(formula)
**>> algorithm<-'default';
**>> mf <- match.call(definition=nls,expand.dots=FALSE,
**>> call('nls',formula, data=parent.frame(),start,control =
**>> nls.control(),
**>> algorithm = "default", trace = FALSE,
**>> subset, weights, na.action, model = FALSE, lower = -Inf,
**>> upper = Inf));
**>> mWeights<-F;#missing(weights);
**>> start=list(w=.5,a=.1,p=.5,b=init.y$coef[2],int=init.y$coef[1] );
**>> pnames <- names(start);
**>> varNames <- varNames[is.na(match(varNames, pnames, nomatch =
**>> NA))]
**>>
**>> varIndex <- sapply(varNames,
**>> function(varName, data, respLength) {
**>> length(eval(as.name(varName), data))%%respLength == 0},
**>> data, length(eval(formula[[2]], data))
**>> );
**>> mf$formula <- as.formula(paste("~", paste(varNames[varIndex],
**>> collapse = "+")), env = environment(formula));
**>> mf$start <- NULL;mf$control <- NULL;mf$algorithm <- NULL;
**>> mf$trace <- NULL;mf$model <- NULL;
**>> mf$lower <- NULL;mf$upper <- NULL;
**>> mf[[1]] <- as.name("model.frame");
**>> mf<-evalq(mf,data);
**>> n<-nrow(mf)
**>> mf<-as.list(mf);
**>> wts <- if (!mWeights)
**>> model.weights(mf)
**>> else rep(1, n)
**>> if (any(wts < 0 | is.na(wts)))
**>> stop("missing or negative weights not allowed")
**>>
**>> m <- switch(algorithm,
**>> plinear = nlsModel.plinear(formula, mf, start, wts),
**>> port = nlsModel(formula, mf, start, wts, upper),
**>> nlsModel(formula, mf, start, wts));
**>>
**>> I am struggling with the environment issues associated with performing
**>> these operations. I did not include the data because it is 9000
**>> observations of temperature data. If anyone would like the data, I
**>> can provide it or a subset in a csv file.
**>>
**>>
**>> thank you
**>> Joe
**>>
**>> ______________________________________________
**>> R-help@stat.math.ethz.ch 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.
**>>
*

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