[Rd] bug in arima?
aim at stats.uwo.ca
Thu Nov 30 20:19:53 CET 2006
I don't think arima works exactly the way one would expect when there is differencing. What I think should happen is that by
default the mean of the differenced series is estimated and if include.mean=F, then it is not. This is not what happens. Instead
when there is differencing the include.mean argument is ignored.
Now I guess, someone could argue that the mean of the original series doesn't exist when using a model with differencing. In this
case, then the arima function doesn't conveniently estimate models with deterministic drift like the ARIMA(0,1,1) with drift. Such
models are occassionally important.
As a workaround, one can do the differencing outside of arima. But I don't think things should work like that!
Most other time series software doesn't do this.
More information about the R-devel