[R] AR(2) coefficient interpretation

Gerard M. Keogh GMKeogh at justice.ie
Wed Dec 24 12:02:12 CET 2008


when I think about you're problem I'm a little worried as it should be is
very simple.
If you think of a the more straightforward AR(1) model y_t = a0 + b*y_t-1
the intercept is the the value y_t=a0 on the scatterplot of y_t vs. y_t-1.
For your first series labelled "a" for example the scatter plot (in Excel)
shows that this intercept computed using the linest function is about

For the 2-d regression y_t on y_t-1 and y_t-2 there are only 9 data points
and the ls parameters are

  b1       b2         a0

(Embedded image moved to file: pic10548.jpg)

This gives quite  good fit to the data - the lm model in R should give the
same values (I havn't tried it).
Try it and see if the coeffs agree with arima - if not, it may be there's
something funny going on in arima in R.
So you want an AR model and you're unsure of arima use lm on lagged values.


             "Stephen Oman"                                                
             <stephen.oman at gma                                             
             il.com>                                                    To 
                                       "Gerard M. Keogh"                   
             23/12/2008 13:40          <GMKeogh at justice.ie>                
                                       Re: [R] AR(2) coefficient           

Hi Gerard,

Thank you for your reply. My point is even though the model is not
suitable, the intercept shouldn't be 5 point sth when the univariate data
is more than 100 million so I wonder whether my interpretation of those
coefficients are correct. Anyway, i have done the acf and pacf and it seems
AR(2) is the right model. Stephen

On Mon, Dec 22, 2008 at 8:33 AM, Gerard M. Keogh <GMKeogh at justice.ie>
  12 obs isn't much for an ar model to work off!
  but in any event, did you check the acf of your data and did it
  geometrically decay after 2 steps to 0?
  If not the model is unsuitable.


              Stephen Oman
              <stephen.oman at gma
              il.com>                                                    To
              Sent by:                  r-help at r-project.org
              r-help-bounces at r-                                          cc
                                        [R]  AR(2) coefficient
              22/12/2008 15:06          interpretation

  I am a beginner in using R and I need help in the interpretation of AR
  by R.  I used 12 observations for my AR(2) model and it turned out the
  intercept showed 5.23 while first and second AR coefficients showed 0.40
  0.46. It is because my raw data are in million so it seems the intercept
  too small and it doesn't make sense. Did i make any mistake in my code?
  code is as follows:

  r<-read.table("data.txt", dec=",", header=T)
  fit<-arima(a, c(2,0,0))

  Thank you for your help first.

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