Bug in pacf -- Proposed patch (PR#10455)
Dear all, regarding the bug in pacf I have prepared a patch (attached) and tested it against the latest R devel platform x86_64-unknown-linux-gnu arch x86_64 os linux-gnu system x86_64, linux-gnu status Under development (unstable) major 2 minor 7.0 year 2008 month 01 day 18 svn rev 44040 language R version.string R version 2.7.0 Under development (unstable) (2008-01-18 r44040) Here I reproduce the example I gave in my previous post to trigger the bug
set.seed(10) x <- rnorm(1000,sd=10000) y <- rnorm(1000,sd=1) pacf(ts(cbind(x,y)),plot=FALSE,lag.max=10)
Partial autocorrelations of series 'ts(cbind(x, y))', by lag , , x x y 0.049 ( 1) 0.002 ( -1) 0.012 ( 2) -0.072 ( -2) 0.002 ( 3) 0.036 ( -3) 0.014 ( 4) 0.013 ( -4) 0.051 ( 5) 0.003 ( -5) 0.033 ( 6) -0.018 ( -6) 0.027 ( 7) 0.069 ( -7) -0.027 ( 8) 0.028 ( -8) -0.010 ( 9) -0.015 ( -9) -0.013 ( 10) -0.015 (-10) , , y x y 0.041 ( 1) -0.045 ( 1) 0.008 ( 2) -0.027 ( 2) -0.056 ( 3) -0.030 ( 3) 0.013 ( 4) -0.020 ( 4) 0.017 ( 5) 0.004 ( 5) -0.021 ( 6) -0.010 ( 6) 0.022 ( 7) 0.061 ( 7) 0.029 ( 8) -0.034 ( 8) -0.014 ( 9) 0.031 ( 9) -0.002 ( 10) 0.019 ( 10) below you can find relevant info and an example where I reproduce Wei's book results. http://www2.stat.unibo.it/giannerini/R/pacf.htm The routine is pure R, on the website there is also a F95 version. I am willing to write a FORTRAN 77 version of the patch if needed but I think this might replace the bugged routine temporarily. Let me know. Thanks for your attention Simone
On Nov 23, 2007 6:35 PM, <sgiannerini at gmail.com> wrote:
Dear all, following the thread http://tolstoy.newcastle.edu.au/R/e2/devel/07/09/4338.html regarding the bug in the partial autocorrelation function for multivariate time series. I have prepared a web page with patches and relevant information. http://www2.stat.unibo.it/giannerini/R/pacf.htm Please do not hesitate to contact me for further clarifications regards Simone --
______________________________________________________ Simone Giannerini Dipartimento di Scienze Statistiche "Paolo Fortunati" Universita' di Bologna Via delle belle arti 41 - 40126 Bologna, ITALY Tel: +39 051 2098262 Fax: +39 051 232153 http://www2.stat.unibo.it/giannerini/ ______________________________________________ R-devel at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
______________________________________________________ Simone Giannerini Dipartimento di Scienze Statistiche "Paolo Fortunati" Universita' di Bologna Via delle belle arti 41 - 40126 Bologna, ITALY Tel: +39 051 2098262 Fax: +39 051 232153 http://www2.stat.unibo.it/giannerini/ ______________________________________________________