From lkavalieris@maths.otago.ac.nz  Wed Sep 13 02:40:46 2000
From: lkavalieris@maths.otago.ac.nz (lkavalieris@maths.otago.ac.nz)
Date: Wed, 13 Sep 2000 03:40:46 +0200 (MET DST)
Subject: [Rd] PR 640 (diff.default computes an incorrect starting time) (PR#658)
Message-ID: <200009130140.DAA15907@pubhealth.ku.dk>

diff.default computes an incorrect starting time for time series.

An error occurs in the arima0 procedure:

library(ts)
y <- ts(rnorm(24),freq=12)
x <- ts(rnorm(24),freq=12)
arima0(y,xreg=x,seasonal=list(order=c(0,1,0)))
Error in tsp<-(*tmp*, value = c(xtsp[1] + lag * differences * xtsp[3],
:
 invalid time series parameters specified

This can be traced to the following lines in arima0

class(x) <- NULL
diff(x,12,1)

The computation of the starting value of the differenced series in
diff.default is incorrect - replacing
             xtsp[1] + lag * differences * xtsp[3]
by

xtsp[1] + lag * differences / xtsp[3]

gives the correct starting time and the problem vanished in arima0.

Version:
 platform = i686-pc-linux-gnu
 arch = i686
 os = linux-gnu
 system = i686, linux-gnu
 status =
 major = 1
 minor = 1.0
 year = 2000
 month = June
 day = 15
 language = R

_____________________________________

Laimonis Kavalieris
Maths and Stats
University of Otago
Dunedin
New Zealand





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[Rd] PR 640 (diff.default computes an incorrect starting time) (PR#658)
lkavalieris@maths.otago.ac.nz