time series in R

Prof Brian D Ripley ripley@stats.ox.ac.uk
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
> 	documentation.

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
bivariate spectra?

>     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[1] * X[i - 1] + ... + phi[p] * X[i - p]
> 	    = theta[0] + 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,                  ripley@stats.ox.ac.uk
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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