From: Paul Gilbert <pgilbert_at_bank-banque-canada.ca>

Date: Wed 15 Jun 2005 - 05:10:03 EST

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 Received on Wed Jun 15 05:16:24 2005

Date: Wed 15 Jun 2005 - 05:10:03 EST

Scott

This works for me:

> arma.pred.without.trend$forecast[[1]][,1]

[1] 106.0038 105.9789 105.9605 105.9396 105.9224 105.9052 105.8926 105.8849 [9] 105.8812 105.8880 105.9043 105.9240 105.9579 105.9878 105.9901 106.0095 [17] 106.0555 106.0782 106.0644 106.0427 106.0297 106.0072 106.0126 106.0125> arma.pred.with.trend$forecast[[1]][,1]

[1] 101.49566 97.46626 93.89069 90.70991 87.88602 85.37563 83.14843 [8] 81.17338 79.42193 77.87562 76.51150 75.30371 74.24589 73.30438 [15] 72.44303 71.69453 71.05658 70.47036 69.91559 69.41396 68.97527 [22] 68.57536 68.24555 67.94755

There was a bug that may be related to this fixed in the version dse_2005.4-1, which has been on CRAN for a month or so. The above result was actually with my working copy, but I don't recall any more recent changes that would affect this. If you actually have the 2005.4-1 version and are still having this problem then please let me know and I will check more carefully. (In that case, OS details would be helpful too.)

Paul Gilbert

Waichler, Scott R wrote:

>(My apologies if this is a repeated posting. I couldn't find any trace

*>of my previous attempt in the archive.)
**>
**>I'm having trouble with forecast() in the dse2 package. It works fine
**>for me on a model without a trend, but gives me NaN output for the
**>forecast values when using a model with a trend. An example:
**>
**># Set inputs and outputs for the ARMA model fit and test periods
**>arma.fit.input <- c(105.3332, 105.3573, 105.3113, 105.1493, 105.1209,
**>105.2111, 104.9161,
**> 105.3654, 105.4682, 105.6789, 105.6297, 106.0155,
**>105.8454, 105.4322,
**> 105.6062, 106.0739, 106.1109, 105.4470, 104.9739,
**>105.3427, 105.4305,
**> 105.2563, 104.8501, 105.0358, 105.2827, 104.8977)
**>
**>arma.fit.output <- c(106.0376, 106.0514, 106.0716, 106.0570, 106.0442,
**>106.0414, 106.0375,
**> 106.0169, 106.0268, 106.0670, 106.1169, 106.1544,
**>106.1898, 106.2252,
**> 106.2605, 106.2959, 106.3324, 106.3974, 106.3460,
**>106.2357, 106.1897,
**> 106.1811, 106.1556, 106.1130, 106.0805, 106.0791)
**>
**>arma.pred.input <- c(104.9916, 104.8207, 104.8936, 104.8767, 104.9435,
**>104.8885, 104.9217,
**> 104.9029, 104.9508, 105.0065, 105.0557, 105.1982,
**>105.3392, 105.4007,
**> 105.6212, 105.5979, 105.2410, 105.4832, 105.8735,
**>105.5944, 105.1063,
**> 104.9809, 105.0821, 104.9362, 105.3037, 105.2322)
**>arma.pred.output <- c(106.0528, 106.0293, 106.0053, 105.9850, 105.9697,
**>105.9604, 105.9509,
**> 105.9430, 105.9357, 105.9314, 105.9333, 105.9420,
**>105.9640, 105.9994,
**> 106.0290, 106.0855, 106.1265, 106.1197, 106.1245,
**>106.1893, 106.2118,
**> 106.1503, 106.0883, 106.0511, 106.0194, 106.0221)
**>
**># Set TSdata object
**>arma.fit.TSdata <- TSdata(input = arma.fit.input, output =
**>arma.fit.output)
**>
**># Fit the model
**>arma.model.without.trend <- estVARXls(arma.fit.TSdata, max.lag=1,
**>trend=F)
**>arma.model.with.trend <- estVARXls(arma.fit.TSdata, max.lag=1,
**>trend=T)
**>
**># Apply the model for the test period
**>arma.pred.TSdata <- TSdata(input = arma.pred.input, output =
**>arma.pred.output[1:2]) arma.pred.without.trend <-
**>forecast(TSmodel(arma.model.without.trend), arma.pred.TSdata)
**>arma.pred.with.trend <- forecast(TSmodel(arma.model.with.trend),
**>arma.pred.TSdata)
**>
**>The results:
**>
**>
**>>arma.pred.without.trend$forecast[[1]][,1]
**>>
**>>
**> [1] 106.0038 105.9789 105.9605 105.9396 105.9224 105.9052 105.8926
**>105.8849 [9] 105.8812 105.8880 105.9043 105.9240 105.9579 105.9878
**>105.9901 106.0095 [17] 106.0555 106.0782 106.0644 106.0427 106.0297
**>106.0072 106.0126 106.0125
**>
**>
**>>arma.pred.with.trend$forecast[[1]][,1]
**>>
**>>
**> [1] 5.76056e+228 NaN NaN NaN NaN
**> [6] NaN NaN NaN NaN NaN
**>[11] NaN NaN NaN NaN NaN
**>[16] NaN NaN NaN NaN NaN
**>[21] NaN NaN NaN NaN
**>
**>I read help on this function and the PDF manuals but can't see what I
**>might be missing.
**>Any ideas?
**>
**>Thanks, Sott Waichler
**>Pacific Northwest National Laboratory
**>scott.waichler@pnl.gov
**>
**>______________________________________________
**>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
**>
**>
*

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 Received on Wed Jun 15 05:16:24 2005

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