================================================================== The gateway between this list and the sci.stat.edu newsgroup will be disabled on June 9. This list will be discontinued on June 21. Subscribe to the new list EDSTAT-L at Penn State using the web interface at http://lists.psu.edu/archives/edstat-l.html. ================================================================== . [EMAIL PROTECTED] (Bush will disarm all workers next) wrote in message news:<[EMAIL PROTECTED]>... > Ran summary.arma(arma(inp, order=c(2,2))) on a timeseries data set and > generated these results: > > > Call: > arma(x = inp, order = c(2, 2)) > > Model: > ARMA(2,2) > > Residuals: > Min 1Q Median 3Q Max > -0.40833 -0.37282 -0.33614 -0.06072 60.63911 > > Coefficient(s): > Estimate Std. Error t value Pr(>|t|) > ar1 1.9484320 NA NA NA > ar2 -0.9486320 NA NA NA > ma1 -0.9577766 NA NA NA > ma2 -0.0009986 0.0503448 -0.02 0.984 > intercept 0.0382860 NA NA NA > > Fit: > sigma^2 estimated as 10.01, Conditional Sum-of-Squares = 3945.79, > AIC = 2051.33 > > How are the coefficients interpreted? Is there a way to > predict/forecast? > > Thanks > Dakshin
Dakshin, There is no need to interpret thos model as it is non-invertible and thus an invalid model By inspection the two ar coefficients when added together are just about 1.0 which indicates non-invertibilty. ar1 1.9484320 NA NA NA > ar2 -0.9486320 NA NA NA Older programs just simply fitting senseless AR/MA structures are to be avoided like the plague. Programs that simply fit higher and higher orders that don't test for invertibility are to be studiously avoided. Perhaps you might want to get some freeware , which actually verbally describes the equation ....http://www.autobox.com/freef.exe ..The program is called FreeFore . It is so much fun to play with that many users have suggested the name ForePlay ! (LOL !) hope this helps .. David P. Reilly AUTOMATIC FORECASTING SYSTEMS 215-675-0652 P.S. For some details on FreeFore click on http://www.autobox.com/ffpro.doc for other info please see http://www.autobox.com/pdfs/whytheyswitched.pdf
