From pierre.chausse at uqam.ca  Wed Apr 22 16:43:35 2009
From: pierre.chausse at uqam.ca (=?ISO-8859-1?Q?Pierre_Chauss=E9?=)
Date: Wed, 22 Apr 2009 10:43:35 -0400
Subject: [Rd] arima
Message-ID: <49EF2D17.9060709@uqam.ca>

Hi,

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 
explicit.

thank you

Pierre Chauss?
economics department
UQ?M



[Rd] arima
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