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 Chaussé 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 Chaussé > economics department > UQÀM > > ______________________________________________ > R-devel@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-devel > > ----- The power of accurate observation is commonly called cynicism by those who have not got it. George Bernard Shaw -- View this message in context: http://www.nabble.com/arima-tp23179485p23464456.html Sent from the R devel mailing list archive at Nabble.com. ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
