[S] V&R and S+ books - not sure about signs of arima coefficients

SusieMM@aol.com
Wed, 11 Nov 1998 00:19:02 EST


Hi. I'm reading the S+ manual and the V&R book. I'm trying to figure out how
to simulate ARIMA models with lags beyond 1. I'm not sure how to type in a
second, third, etc. coefficient. Also, I'm not sure which sign to use (+ or
-). See my example below.

For example, suppose I want to simulate:

Y(t) +1.9Y(t-1) + 0.88Y(t-2) = Z(t) + 0.2Z(t-1) + 0.7(t-2). I can't type
subscripts within AOL but (t-1) is a subscript and so on.

I would use arima.sim and order (2,0,2) and I think I would type in:

> x<- arima.sim(model=list(ar=c(1.9, 0.88), ma=c(0.2, 0.7)).

1. Is this right? The V&R book (page 443) says "S-Plus reverses the sign of
the MA coefficients for j > 0).

2. Am I right in assuming that the coefficients are typed in from left to
right for the lowest to highest lag?

3. Also, is there a command that shows what that the above command is
simulating the process Y(t) +1.9Y(t-1) + 0.88Y(t-2) = Z(t) + 0.2Z(t-1) +
0.7(t-2)?

4. Is there a command to show me what the roots of this equation are so that I
can rewrite Y(t) +1.9Y(t-1) + 0.88Y(t-2) = Z(t) + 0.2Z(t-1) + 0.7(t-2) using
lag operator terminator?

Ex. (1-aB)(1-bB)Y(t) = (1-cB)(1-dB)Z(t) where a, b, c, and d are coefficients

Thanks. Susan M. Mangiero
-----------------------------------------------------------------------
This message was distributed by s-news@wubios.wustl.edu. To unsubscribe
send e-mail to s-news-request@wubios.wustl.edu with the BODY of the
message: unsubscribe s-news