time series in R

Adrian Trapletti Adrian.Trapletti@wu-wien.ac.at
Tue, 20 Jul 1999 08:50:18 +0000

Prof Brian D Ripley wrote:

> Suggestions:
> ===========
> If Martyn and Adrian are agreeable, I will start a library(ts) in the
> 0.65 version. I will put in this:

I agree with almost everything.

> the ts class and methods (maybe in due course these should be removed
> from the base package?)
> datasets from MASS, tseries
> lag, deltat, cycle
> filter
> acf from bats, augmented by ideas from tseries.
> spectrum, spec.pgram from bats  (after looking at tseries hard)

Concerning the normalization, definition of fft and so on, I just want to say how
it is done in tseries:

Periodogram: Normalizing by (2*pi*n) where n is the length of the original series,
i.e. it differs from Brockwell&Davies by the factor 2*pi. Furthermore, normalizing
by n (and not npad) preserves the shape and not the sum under/over the
periodogram. I also remove the mean before starting the main computation which
makes the correction (10.4.7) from B&D unnecessary(?).

> spec.taper
> cpgram from MASS
> ar.yw from bats  (although that probably needs to be moved to
> C/Fortran, and I may special-case the univariate case to use code I
> have for that).

What about simple OLS estimator ar.ols?

> That leaves
> stl -- I believe the code for this is on netlib.
> arima modelling.  I do have Fortran code for this, and will work on
>   a simple R interface for it.  An elegant interface can come later.
> As the feature-freeze for 0.65 is probably about 2-3 weeks away, we
> ought to concentrate on getting the basic stuff (bats-like) in first.

I will wait until this first version is finished and then update the tseries
library to fit with the R ts.base library so we can use, e.g., the tests etc. What
about the name tseries. Should I change this name, so that it does not conflict
with the time series base?


Adrian Trapletti, Vienna University of Economics and Business
Administration, Augasse 2-6, A-1090 Vienna, Austria
Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708,
Email: adrian.trapletti@wu-wien.ac.at

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