Sorry, I forgot to attach the file. ________________________________________
Dear R users, I have not received any help regarding my problem. The rolling window AR1 model returns an error if I run my code as follows: data<-GSDAF[,2] rollingarma<-rollapply(data,width=36,function(data) coef(arima(data,order=c(1,0,0)))) Error in arima(data, order = c(1, 0, 0)) : non-stationary AR part from CSS However, what is wrong with my code? Can I use the arma() function as alternative? In this case the code is rollingarma<-rollapply(data,width=36,function(data) coef(arma(data,order=c(1,0),include.intercept = FALSE))) Unfortunately, I get following message: There were 50 or more warnings (use warnings() to see the first 50) warnings() Warning messages: In optim(coef, err, gr = NULL, hessian = TRUE, ...) : one-dimensional optimization by Nelder-Mead is unreliable: use "Brent" or optimize() directly How can I use Brent or optimize in this code? Thanks for your support. ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > 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. > ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.