From dsstoffer at gmail.com  Sat May  9 22:38:19 2009
From: dsstoffer at gmail.com (David Stoffer)
Date: Sat, 9 May 2009 13:38:19 -0700 (PDT)
Subject: [Rd] arima
In-Reply-To: <49EF2D17.9060709@uqam.ca>
References: <49EF2D17.9060709@uqam.ca>
Message-ID: <23464456.post@talk.nabble.com>


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 Chauss? wrote:
> 
> 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
> 
> ______________________________________________
> R-devel at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
> 
> 


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[Rd] arima
David Stoffer