time series in R
Prof Brian D Ripley
ripley@stats.ox.ac.uk
Mon, 19 Jul 1999 22:48:10 +0100 (BST)
On Tue, 20 Jul 1999, Ross Ihaka wrote:
> On Mon, 19 Jul 1999, Prof Brian D Ripley wrote:
>
> > Time Series functions in R
>
> I agree with basically everything Brian says, and would add the
> following thoughts:
>
> 1. Think carefully about defining interfaces before leaping
> into code. By defining an interface independent of the
> particular code at hand we will make it easier to switch to
> new code.
Yes, but we also want (to some extent) back-compatibility with S(-PLUS).
I would like to get something in there, even if we discover it
is not right. For example, I have been trying what is already there on
bivariate series, with a lot of surprises.
> 3. On the definition question: The existing FFT implementation
> uses a particular definition for the discrete transform which
> is pretty standard. (Edwards "Fourier Series", Brillinger
> "Time Series" etc.) Using another definition may complicate
> documentation.
That's the simple part. But what is the divisor in the periodogram? Which
way do lags go in acfs of bivariate series, and which sign is the phase for
bivariate spectra?
> 4. The notation for ARMA models may well be the stuff that
> holy wars are made of, but my personal preference is
> X[i] + phi[1] * X[i - 1] + ... + phi[p] * X[i - p]
> = theta[0] + epsilon[i] + ... + theta[q] * epsilon[i - q]
> [ Man to judge: ``It was self defense - I thought he was
> going to hit me, so I hit him first.'' ]
Well, that is not mine, and it is not S-PLUS's either.
I see the virtue of a grander plan, but would like to get the
simpler parts in now. And having spent an hour writing ts.union and
ts.intersect, I realize the simpler parts are not so simple. Bill and I
had planned a new ts package to go with V&R3, but the work seemed to
be too much (and seems to be too much before R 1.0, too).
Brian
--
Brian D. Ripley, ripley@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272860 (secr)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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