time series in R
Prof Brian D Ripley
Mon, 19 Jul 1999 22:48:10 +0100 (BST)
On Tue, 20 Jul 1999, Ross Ihaka wrote:
> On Mon, 19 Jul 1999, Prof Brian D Ripley wrote:
> > Time Series functions in R
> I agree with basically everything Brian says, and would add the
> following thoughts:
> 1. Think carefully about defining interfaces before leaping
> into code. By defining an interface independent of the
> particular code at hand we will make it easier to switch to
> new code.
Yes, but we also want (to some extent) back-compatibility with S(-PLUS).
I would like to get something in there, even if we discover it
is not right. For example, I have been trying what is already there on
bivariate series, with a lot of surprises.
> 3. On the definition question: The existing FFT implementation
> uses a particular definition for the discrete transform which
> is pretty standard. (Edwards "Fourier Series", Brillinger
> "Time Series" etc.) Using another definition may complicate
That's the simple part. But what is the divisor in the periodogram? Which
way do lags go in acfs of bivariate series, and which sign is the phase for
> 4. The notation for ARMA models may well be the stuff that
> holy wars are made of, but my personal preference is
> X[i] + phi * X[i - 1] + ... + phi[p] * X[i - p]
> = theta + epsilon[i] + ... + theta[q] * epsilon[i - q]
> [ Man to judge: ``It was self defense - I thought he was
> going to hit me, so I hit him first.'' ]
Well, that is not mine, and it is not S-PLUS's either.
I see the virtue of a grander plan, but would like to get the
simpler parts in now. And having spent an hour writing ts.union and
ts.intersect, I realize the simpler parts are not so simple. Bill and I
had planned a new ts package to go with V&R3, but the work seemed to
be too much (and seems to be too much before R 1.0, too).
Brian D. Ripley, firstname.lastname@example.org
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272860 (secr)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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