Here is my problem: Autoregressive models are very interesting in forecasting consumptions (eg water, gas etc).
Generally time series of this type have a long history with relatively simple patterns and can be useful to add external regressors for calendar events (holydays, vacations etc). arima() is a very powerful function but kalman filter is very slow (and I foun difficulties of estimation) while ar() is too simple but fast (but do not have a method for forecasting I think) Is there something like arima() but entirely implemented in C and efficient like ar() ??? Is there something like step() for ARIMAX? It would be very useful for external regressors. Try the code below (imagine daily data for some years): x <- rep(c(15,20,20,20,20,12,10), 5*52) set.seed(1234) x <- x + rnorm(length(x)) #plot(as.ts(x[1:21])) #slow arima(x, c(1,0,1), list(order = c(2,0,0), period = 7)) arima(x, c(2,0,0), list(order = c(3,0,0), period = 7)) #slower arima(x, c(2,0,1), list(order = c(3,0,0), period = 7)) # do not converge arima(x, c(2,0,0), list(order = c(3,0,1), period = 7)) #fast but not enough sophisticated ar(x) Thanks in advance Daniele ________________________________ ORS Srl Via Agostino Morando 1/3 12060 Roddi (Cn) - Italy Tel. +39 0173 620211 Fax. +39 0173 620299 / +39 0173 433111 Web Site www.ors.it ------------------------------------------------------------------------------------------------------------------------ Qualsiasi utilizzo non autorizzato del presente messaggio e dei suoi allegati è vietato e potrebbe costituire reato. Se lei avesse ricevuto erroneamente questo messaggio, Le saremmo grati se provvedesse alla distruzione dello stesso e degli eventuali allegati. Opinioni, conclusioni o altre informazioni riportate nella e-mail, che non siano relative alle attività e/o alla missione aziendale di O.R.S. Srl si intendono non attribuibili alla società stessa, né la impegnano in alcun modo. [[alternative HTML version deleted]]
______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.