After much hair-pulling, the time series module is getting close to being as good as I'm going to make it for a while. I suspect that's also about as good as it can get.
Here is my summary of how well it works: Badly. I started writing it partly because the R time series module did not produce very good estimates and I thought I could write something better. And for the tests I have run, the module I wrote does a little a better, but still not so great. The only reason my own module works as well as it does is because of its good initial estimates. I'm starting to think that maximum likelihood estimation for ARMA processes is just difficult, and that writing a program to estimate ARMA parameters for an arbitrary, user-specified order isn't a good idea. I wish I had a better result, but after a few months of work, I don't think the code is going to be what I had hoped for originally. At least I can get a conference poster out of it. So now I'm left wondering what to do. The code I have written so far will work, but the estimates it gives beyond the initial values aren't so good. I might add this code to the cvs repository with the understanding that it needs major improvements later. src/math/ts/innovations.c is potentially a useful routine for computing orthogonal projections elsewhere, but leaving it by itself means leaving some mathematical code in the cvs repository without any procedures that use it. And perhaps the worst part of the news is this: Not many users need to estimate the parameters of an ARMA process. This just isn't nearly as useful to as many potential users as a GLM procedure, or logistic regression, or one of many other possible procedures. So: Should I junk this whole thing, or check it in? I'm hoping everyone will say "forget it and start on the GLM procedure." In any case, I think innovations.c should probably stay where it is, since it could be useful in the future. -Jason _______________________________________________ pspp-dev mailing list [email protected] http://lists.gnu.org/mailman/listinfo/pspp-dev
