arima
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 Chauss? 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 Chauss? economics department UQ?M
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