[Rd] Bug in pacf -- Proposed patch (PR#10455)
Simone Giannerini
sgiannerini at gmail.com
Fri Jan 18 20:22:24 CET 2008
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/
______________________________________________________
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