Re: [R] arima: warning when fixing MA parameters.

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Fri 14 Oct 2005 - 20:26:02 EST

It's a bug: the code has 1:arma[1], i.e. 1:0. Replace by seq(length=arma[1]).

On Thu, 13 Oct 2005, John Maindonald wrote:

> 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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>

-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Fri Oct 14 20:32:32 2005

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