tseries

[Adrian Trapletti]

Martyn Plummer wrote:

> Dear Adrian,

Hi Martin

>
>
> Thank you for providing your time series library for R. I have been
> working on a time series package myself, with help from Paul Gilbert. It
> is called "bats" (doesn't stand for anything except possibly "basic time
> series") and can be found in the devel directory on CRAN.
>
> The "bats" library was a collection of S-PLUS compatibile functions
> that I needed for my "coda" package. With a little encouragement from
> Paul, I split these off into a separate package and developed them into
> more-or-less full clones of the S-PLUS functions. There are a couple of
> functions yet unwritten (autoregressive estimation via Burg's algorithm
> and spectral density estimation from fitting ar models) and this is the
> only reason why the package is in the "devel" directory.
>
> I am writing to ask if you would like to merge the two libraries
> together. The primary design goal of bats is compatibility with S-PLUS,

Even if I would like to, it would not be easy for me because I don't have
access to any S-PLUS.

To the R developpers: Is that a primary design goal?

>
> which may not be what you want. In any case, both libraries are GPL so
> you are free to use any of the code. Please have a look at bats and
> tell me what you think.
>
> Martyn

I compared the acf functions of both "bats" and "tseries":

> x<-rnorm(10000)
> library(bats)
> x<-rnorm(10000)
> system.time(a<-acf(x,1000))
[1] 15.70  0.02 31.00  0.00  0.00
> library(tseries)
> system.time(a<-acf(x,1000,pl=F))
[1] 0.29 0.00 1.00 0.00 0.00
>

I think, to achieve a better performance you should avoid loops of the
order of the length of a usual data set. It makes your routines very slow.

Though I think we should here some opinions about the design of a time
series library and then we can discuss about merging any parts or splitting
some programming work for THE R time series library.

Thanks

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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