Thanks Richard. I am just trying to understand exactly what is R's arima
doing, and I am having a hard time. It seems that xreg is necessary to force
arima to include the constant term, but it appears that exactly how this is
done is not documented. If a series is not differenced, e.g. AR(1), then
Tom
A constant term is not included in the model if any differencing is
specified. The xreg= parameter is used to add other explanatory variables to
the model. In your case xreg=1:length(x) adds a vector of 1's to the model.
Robert Shumway and David Stoffer's website for their Time Series
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