[R] R-help: gls with correlation=corARMA

From: <gaffigan_at_sfos.uaf.edu>
Date: Fri 09 Dec 2005 - 13:52:05 EST


Dear Madams/Sirs,

Hello. I am using the gls function to specify an arma correlation during estimation in my model. The parameter values which I am sending the corARMA function are from a previous fit using arima. I have had some success with the method, however in other cases I get the following error from gls: "All parameters must be less than 1 in absolute value". None of the parameters (individually) are greater than or equal to 1. Please copy the code below into R to reproduce the error. Thanks.

Is my logic incorrect? In the corARMA function, there's a call to pre-compiled C code with the name "ARMA_unconstCoef". Is the source code for such compiled code freely available for download?

Thanks for your suggestions.

Sincerely

Steve Gaffigan

data=read.table("http://ak.aoos.org/data/sample_070989.dat",header=T) attach(data)

mod.ols=lm(obs~model)
mod.sma=arima(residuals(mod.ols),order=c(0,0,1),seasonal=list(order=c(0,0,2),period=12))
theta.1=mod.sma$coef[1]
THETA.1=mod.sma$coef[2]
THETA.2=mod.sma$coef[3]

ma.coefs=c(-theta.1,double(10),-THETA.1,theta.1*THETA.1,double(10),-THETA.2,theta.1*THETA.2) library(nlme)
mod.gls=gls(obs~model,correlation=corARMA(q=25,value=ma.coefs,fixed=T),method="ML") detach(data)
-- 
Alaska Ocean Observing System
School of Fisheries and Ocean Sciences : University of Alaska Fairbanks

______________________________________________
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 Fri Dec 09 14:00:10 2005

This archive was generated by hypermail 2.1.8 : Fri 09 Dec 2005 - 17:29:03 EST