CODEWITHSUNDEEP
rstatisticstime-series
Dave
Dave

Reputation: 2386

How can I fix the sigma value in an Arima model

I'd like to fix the Variance value in an Arima model. How can I specify this. From what I can tell it cannot be set through the fixed parameter.

Thanks!

Upvotes: 0

Views: 1188

Answers (1)

Stephan Kolassa
Stephan Kolassa

Reputation: 8267

This is going to be an ugly hack, but it should work.

Load the forecast library and create an ARIMA fit of the specified order so we have a template.

library(fit)
fit <- Arima(WWWusage,order=c(3,0,1))

Examine the components of fit.

names(fit)

Change them to match the model you want to forecast - the variance is in the sigma2 component:

fit$coef <- structure(c(1,-.2,1,0.2,100),.Names=names(fit$coef))
fit$sigma2 <- 20

And forecast, using forecast.Arima():

forecast(fit,h=20)
plot(forecast(fit,h=20))

forecast

You may also want to look at arima.sim() and feed the residual variance into the rand.gen innovations generator.

Upvotes: 1

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