Re: [R] Use Of makeARIMA

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Sat 07 Jan 2006 - 01:14:11 EST

          I have not seen a reply to this post, so I will attempt a feeble response. I've been wanting to learn more about these commands and suffering, like you, from the paucity of examples to follow. To get started, after reading the help pages for all the commands you mentioned, I tried to think of the simplest example that might help me learn something about this. This question led to the following:

set.seed(3)
y3 <- rep(0:2, 10)+0.1*rnorm(30)
acf(y3) # ACF suggest a period 3 seasonal pacf(y3)# PACF suggests a pure AR of order at most 3

(fit3 <- arima(y3, seasonal=list(order=c(1,0,0), period=3)))

attributes(fit3)
fit3$model # Compare with the documentation for 'makeARIMA'

KalmanForecast(mod=fit3$model)

          If I wanted to understand better "makeARIMA" in particular, I listed "arima" and did a search for "makeARIMA": "arima" clearly uses "makeARIMA". If you run 'debug(arima)' then the above 'arima' command, you can step through the 'arima' function line by line and look at (and modify) any of the objects that function creates and uses. In particular, you will be able to see exactly how the "arima" command uses the "makeARIMA" function.

	  Hope this helps.
	  spencer graves

p.s. If you'd like more help from this group, please submit another question. Before you do, however, I suggest you first read the posting guide! "www.R-project.org/posting-guide.html". Anecdotal evidence suggests that posts more consistent with that guide are more likely to receive more useful replies quicker.

Sumanta Basak wrote:

> Hi R-Experts,
>
>
>
> Currently I'm using an univariate time series in which I'm going to
> apply KalmanLike(),KalmanForecast (),KalmanSmooth(), KalmanRun(). For I
> use it before makeARIMA () but I don't understand and i don't know to
> include the seasonal coefficients. Can anyone help me citing a suitable
> example? Thanks in advance.
>
>
>
>
>
> ------------------------------------------
>
> SUMANTA BASAK.
>
> ------------------------------------------
>
> <http://www.drsb24.blogspot.com/>
>
>
>
>
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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 Sat Jan 07 01:22:43 2006

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