5:51 a.m.
Hi,
I'm not sure if this is possible in gretl. I want to interpolate a gap
of samples with ARMA by using the value to the left and right of the
gap. If I have data like this:
Time lag: 1 2 3 4 5 6 7 8 9 10 11
Values: 0 0.1 0.2 0.3 * * * 0.3 0.2 0.1 0
The values marked with a star are the gap I want to interpolate (at lag
5, 6 and 7: the values should be something like 0.4, 0.5, 0.4 after
interpolation). How would you go about creating a gretl DATASET with
these values? And will the get_forecast function work on "predicting"
the interpolated samples?
I've always used ARMA for out-of-sample forecasts, but never for
interpolation, so I'm not sure if this is possible.
Regards
Chris
6:02 a.m.
On Thu, 15 May 2014, GOO Creations wrote:
Hi,
I'm not sure if this is possible in gretl. I want to interpolate a gap
of samples with ARMA by using the value to the left and right of the
gap. If I have data like this:
Time lag: 1 2 3 4 5 6 7 8 9 10 11
Values: 0 0.1 0.2 0.3 * * * 0.3 0.2 0.1 0
The values marked with a star are the gap I want to interpolate (at lag
5, 6 and 7: the values should be something like 0.4, 0.5, 0.4 after
interpolation). How would you go about creating a gretl DATASET with
these values? And will the get_forecast function work on "predicting"
the interpolated samples?
I've always used ARMA for out-of-sample forecasts, but never for
interpolation, so I'm not sure if this is possible.
This is absolutely possible via an ARMA model. However, my advice would be
to use a state space model and the Kalman filter, which provide a very
flexible, natural and flexible framework for problems of this type.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
6:14 a.m.
Thanks Riccardo for the quick reply and your suggestion.
I'm specifically want to use ARMA, because I use it in my thesis and
benchmark it against a bunch of other interpolators I've implemented.
Once I get that working I'll definitely look into your Kalman-filter
suggestion.
Do you maybe know how to add the time-lags to the DATASET? The gretl API
documentation (and the examples in the source code) are not very
informative on this matter. And how do I set t1 and t2 of the DATSET so
that the ARMA model and get_forecast knows where the samples start and
end (since there are now 2 places where the data starts and ends, not
just 1 as with the usual DATASET used to do a simple forecast).
Regards
Chris
On 2014/05/15 08:02 AM, Riccardo (Jack) Lucchetti wrote:
On Thu, 15 May 2014, GOO Creations wrote:
> Hi,
>
> I'm not sure if this is possible in gretl. I want to interpolate a gap
> of samples with ARMA by using the value to the left and right of the
> gap. If I have data like this:
>
> Time lag: 1 2 3 4 5 6 7 8 9 10 11
> Values: 0 0.1 0.2 0.3 * * * 0.3 0.2
> 0.1 0
>
> The values marked with a star are the gap I want to interpolate (at lag
> 5, 6 and 7: the values should be something like 0.4, 0.5, 0.4 after
> interpolation). How would you go about creating a gretl DATASET with
> these values? And will the get_forecast function work on "predicting"
> the interpolated samples?
> I've always used ARMA for out-of-sample forecasts, but never for
> interpolation, so I'm not sure if this is possible.
This is absolutely possible via an ARMA model. However, my advice
would be to use a state space model and the Kalman filter, which
provide a very flexible, natural and flexible framework for problems
of this type.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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7:06 a.m.
Me again,
I've created a test program to illustrate what I'm trying to do.
Currently it doesn't want to do the forecast. Can anyone identify what
I'm doing wrong?
I think the problem is the setting of the start and end observations.
The 3 samples I want to interpolate (4, 5, 6) currently have a value of
0 in the DATASET. This is probably wrong, because the model will be
fitted with those 3 zeros. How can I tell the model to ignore those
values and only use 0 - 3 and 7 - 10? Is get_forecast even the correct
function to use for interpolation?
Regards
Chris
On 2014/05/15 08:02 AM, Riccardo (Jack) Lucchetti wrote:
On Thu, 15 May 2014, GOO Creations wrote:
> Hi,
>
> I'm not sure if this is possible in gretl. I want to interpolate a gap
> of samples with ARMA by using the value to the left and right of the
> gap. If I have data like this:
>
> Time lag: 1 2 3 4 5 6 7 8 9 10 11
> Values: 0 0.1 0.2 0.3 * * * 0.3 0.2
> 0.1 0
>
> The values marked with a star are the gap I want to interpolate (at lag
> 5, 6 and 7: the values should be something like 0.4, 0.5, 0.4 after
> interpolation). How would you go about creating a gretl DATASET with
> these values? And will the get_forecast function work on "predicting"
> the interpolated samples?
> I've always used ARMA for out-of-sample forecasts, but never for
> interpolation, so I'm not sure if this is possible.
This is absolutely possible via an ARMA model. However, my advice
would be to use a state space model and the Kalman filter, which
provide a very flexible, natural and flexible framework for problems
of this type.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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Riccardo (Jack) Lucchetti