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 Chaussé
economics department
UQÀM
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