[R] arima: warning when fixing MA parameters.

From: John Maindonald <john.maindonald_at_anu.edu.au>
Date: Thu 13 Oct 2005 - 17:10:00 EST


I am puzzled by the warning message in the output below. It appears whether or not I fit the seasonal term (but the precise point of doing this was to fit what is effectively a second seasonal term). Is there some deep reason why AR parameters
("Warning message: some AR parameters were fixed: ...") should somehow intrude into the fitting of a model that has only MA terms?

> library(DAAG)
> attach(bomsoi)
> # The following is fine:
> arima(avrain, order=c(0,0,4), seasonal=list(order=c(0,0,1),
period=12),
+ fixed=c(NA,0,0,NA,NA,NA))
.....
> # The following generates a warning message
> arima(avrain, order=c(0,0,4), seasonal=list(order=c(0,0,1),
period=12),
+ fixed=c(0,0,0,NA,NA,NA))

Call:

arima(x = avrain, order = c(0, 0, 4), seasonal = list(order = c(0, 0,  
1), period = 12),
     fixed = c(0, 0, 0, NA, NA, NA))

Coefficients:
       ma1  ma2  ma3     ma4     sma1  intercept
         0    0    0  0.0357  -0.1061   456.6675
s.e.    0    0    0  0.1015   0.0886     7.6997

sigma^2 estimated as 6849: log likelihood = -595.23, aic = 1198.46 Warning message:
some AR parameters were fixed: setting transform.pars = FALSE in: arima(avrain, order = c(0, 0, 4), seasonal = list(order = c(0,

John Maindonald email: john.maindonald@anu.edu.au phone : +61 2 (6125)3473 fax : +61 2(6125)5549 Centre for Bioinformation Science, Room 1194, John Dedman Mathematical Sciences Building (Building 27) Australian National University, Canberra ACT 0200.



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