[R] Problem with calculating the residuals in an AR(p)-model
Hi, I'm trying to calculate the residuals in a one-sided AR(p) model: sum (phi_j (X_t-j - EX)) = epsilon My X is an ARMA(1,1)-model, which can be represented as an AR(infty) model. I calculate the order of the model with AIC and the parameters with the Yule-Walker method. For the residuals, I tried: for (k in (p+1):n){ for (j in 1:p){ eps[k] - sum(phi[j] * (X[k-j] - mean(X))) } ceps[k] - eps[k] - sum(eps)/(n-p+1) #centering the residuals } The residuals in my ARMA(1,1)-models are t-distributed with 6 degrees of freedom. Unfortunately my code results in residuals, which are all around zero. So ecdf(eps) or ecdf(ceps) are very different from a t(6)-distribution. Where's the bug in my code? Regards, Martin -- View this message in context: http://www.nabble.com/Problem-with-calculating-the-residuals-in-an-AR%28p%29-model-tp22055764p22055764.html Sent from the R help mailing list archive at Nabble.com. __ 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.
[R] Re sampling from an ECDF
Good day everyone, I have about 500 values to generate my ecdf. Now I want to sample 2000 values i.i.d. distributed according to my ecdf. Is it possible to sample from an ecdf? If yes, I would appreciate your help. Martin -- View this message in context: http://www.nabble.com/Resampling-from-an-ECDF-tp20831433p20831433.html Sent from the R help mailing list archive at Nabble.com. __ 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.
Re: [R] Re sampling from an ECDF
Say F_n is my ecdf, generated from my sample x. With sample(x, 2000, replace = TRUE) I get a uniformly distributed sample from x. But I need a (re)sample, which is F_n distributed. Now I'm confused, if that makes a difference or not... Regards, Martin Dimitris Rizopoulos-4 wrote: say 'x' is your sample, then try sample(x, 2000, replace = TRUE) I hope it helps. Best, Dimitris -- Dimitris Rizopoulos Assistant Professor Department of Biostatistics Erasmus Medical Center Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands Tel: +31/(0)10/7043478 Fax: +31/(0)10/7043014 __ 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. -- View this message in context: http://www.nabble.com/Resampling-from-an-ECDF-tp20831433p20835550.html Sent from the R help mailing list archive at Nabble.com. __ 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.
[R] how to sample a block
Hi, I want to sample a block of information. Let's say x is a time series. Using sample(x,5) I get a random sample of length 5 from x. Is it possible to sample consecutive observations, i.e. I sample one observation and also get the next 4 observations? Thanks a lot! Martin -- View this message in context: http://www.nabble.com/how-to-sample-a-block-tp20418997p20418997.html Sent from the R help mailing list archive at Nabble.com. __ 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.