dsstoffer at gmail.com
Sat May 9 22:38:19 CEST 2009
Pierre- I wonder how many people have to submit this concern before someone
takes care of the problem. I may have been the first to point this out
because I got a reply from an R core member that was rude, to say the least.
Now there are no responses to this query. I set up a page to keep track of R
problems with time series ... spread the word:
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm . You will also find some
fixes there, and you will see that I point out some inconsistencies [e.g.,
if you use ar(), the term intercept is used differently than in arima()].
Unfortunately, that won't help with the fGarch problem - you should write
the maintainers: Rmetrics-core at r-project.org.
Pierre Chaussé wrote:
> I have a suggestion for the fonction arima and arima0. I think you
> should not call the constant an intercept because it creates confusion.
> It is not really an intercept but a mean. For an AR(1) the intercept mu
> should be defined as:
> X(t)=mu + phi X(t-1) + e(t)
> What you call intercept mu is rather defined as
> (X(t)-mu) = phi (X(t-1)-mu)) + e(t)
> which is not a common way to define an intercept. There is an error in
> the fGarch's predict() because of that. I think you should just be more
> thank you
> Pierre Chaussé
> economics department
> R-devel at r-project.org mailing list
The power of accurate observation is commonly called cynicism
by those who have not got it. George Bernard Shaw
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