[R] Seasonal ARIMA question - stat package (formerly ts)

About this list Date view Thread view Subject view Author view Attachment view

From: Keith Campbell (keithc@rotellacapital.com)
Date: Tue 25 May 2004 - 07:15:16 EST


Message-id: <053B1BC31740FE46B5EC8369B953F5F7397F8D@XOC1VEXC002.xoc1.com>

To whom it may concern:
 
I am trying to better understand the functionality of 'R' when making
arima predictions to avoid any "Black Box" disadvantages.
 
I'm fitting a seasonal arima model using the following command (having
already loaded 'stat' package).
arimaSeason <-
arima(Data,order=c(1,0,1),seasonal=list(order=c(1,0,1),period=12))
 
I can then generate subsequent predictions using the 'predict' function.
However, I can't seem to duplicate these predictions in a separate
program using the model coefficients. From duplicating simpler models,
I understand the input variables are adjusted by the intercept term.
(e.g. for an arima(1,0,0) the prediction equation is y(t) = beta1 * (
y(t-1) - beta0 ) + beta0 ....where beta0 is the intercept)
 
Currently, I've expected the prediction to follow the equation below:
y(t) = beta0 + [beta1*( y(t-1) - beta0 )] + [beta2 * epsilon(t-1)]
+ [beta3 * (y(t-12) - beta0)] + [beta4 * epsilon(t-12)]
 
This has proved unsuccessful. What equation underlies this arima
prediction? Is there something different that happens
 
Many thanks for your help,
Keith Campbell
 
 
Keith Campbell
Researcher
ROTELLA CAPITAL MANAGEMENT |180 N. Stetson Suite 5100 I Chicago, IL
60601 | t: 312.706.0442 | f: 312.861.0468 |
________________________________________________________________________
_____________________________________________

This message is for the designated recipient only and may contain
privileged, proprietary, or otherwise private information. If you are
not the intended recipient or otherwise believe that you have received
this message in error, please notify the sender immediately and delete
the original. Any other use of this message by you is prohibited.

 

        [[alternative HTML version deleted]]

______________________________________________
R-help@stat.math.ethz.ch mailing list
https://www.stat.math.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html


About this list Date view Thread view Subject view Author view Attachment view

This archive was generated by hypermail 2.1.3 : Mon 31 May 2004 - 23:05:12 EST