From kjetil at acelerate.com  Sun May  2 22:40:14 2004
From: kjetil at acelerate.com (kjetil@acelerate.com)
Date: Sun May  2 22:40:59 2004
Subject: [Rd] arima problems when using argument fixed=
Message-ID: <4095246E.13614.13386CE@localhost>

As I am reading ?arima, only NA entries in the argument fixed= 
imports. The following seems to indicate otherwise:



 x <- arima.sim(model=list(ar=0.8), n=100) + (1:100)/50
> t <- 1:100
> mod1 <- lm(x ~ t)
> 
> init1  <- c(0, coef(mod1)[2])
> fixed1 <- c(as.numeric(NA), 0)
> 
> arima(x, order=c(1,0,0), xreg=t, include.mean=FALSE, init=init1, 
fixed=fixed1)

Call:
arima(x = x, order = c(1, 0, 0), xreg = t, include.mean = FALSE, 
fixed = fixed1, 
    init = init1)

Coefficients:
         ar1  t
      0.9281  0
s.e.  0.0357  0

sigma^2 estimated as 0.9186:  log likelihood = -138.64,  aic = 281.28
> 
> init2 <- init1
> init2[2] <- 0
> 
> fixed2 <- init1
> fixed2[1] <- as.numeric(NA)
> 
> arima(x, order=c(1,0,0), xreg=t, include.mean=FALSE, init=init2, 
fixed=fixed2)

Call:
arima(x = x, order = c(1, 0, 0), xreg = t, include.mean = FALSE, 
fixed = fixed2, 
    init = init2)

Coefficients:
         ar1       t
      0.7888  0.0377
s.e.  0.0593  0.0000

sigma^2 estimated as 0.8452:  log likelihood = -133.97,  aic = 271.94
> 

> fixed1
[1] NA  0
> fixed2
                    t 
        NA 0.03767406 

> arima(x, order=c(1,0,0), xreg=t, include.mean=FALSE, init=init2, 
fixed=fixed1)

Call:
arima(x = x, order = c(1, 0, 0), xreg = t, include.mean = FALSE, 
fixed = fixed1, 
    init = init2)

Coefficients:
         ar1  t
      0.9281  0
s.e.  0.0357  0

sigma^2 estimated as 0.9186:  log likelihood = -138.64,  aic = 281.28


Kjetil Halvorsen


[Rd] arima problems when using argument fixed=
kjetil@acelerate.com