time series in R

Suggestions:
===========

If Martyn and Adrian are agreeable, I will start a library(ts) in the
0.65 version. I will put in this:

I agree with almost everything.

the ts class and methods (maybe in due course these should be removed
from the base package?)

datasets from MASS, tseries

lag, deltat, cycle
filter

acf from bats, augmented by ideas from tseries.

spectrum, spec.pgram from bats  (after looking at tseries hard)

Concerning the normalization, definition of fft and so on, I just want to say how
it is done in tseries:

Periodogram: Normalizing by (2*pi*n) where n is the length of the original series,
i.e. it differs from Brockwell&Davies by the factor 2*pi. Furthermore, normalizing
by n (and not npad) preserves the shape and not the sum under/over the
periodogram. I also remove the mean before starting the main computation which
makes the correction (10.4.7) from B&D unnecessary(?).

spec.taper
cpgram from MASS

ar.yw from bats  (although that probably needs to be moved to
C/Fortran, and I may special-case the univariate case to use code I
have for that).

What about simple OLS estimator ar.ols?

That leaves

stl -- I believe the code for this is on netlib.

arima modelling.  I do have Fortran code for this, and will work on
  a simple R interface for it.  An elegant interface can come later.


As the feature-freeze for 0.65 is probably about 2-3 weeks away, we
ought to concentrate on getting the basic stuff (bats-like) in first.

I will wait until this first version is finished and then update the tseries
library to fit with the R ts.base library so we can use, e.g., the tests etc. What
about the name tseries. Should I change this name, so that it does not conflict
with the time series base?

Adrian

--
Adrian Trapletti, Vienna University of Economics and Business
Administration, Augasse 2-6, A-1090 Vienna, Austria
Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708,
Email: adrian.trapletti@wu-wien.ac.at



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