[Rd] arima

Pierre Chaussé pierre.chausse at uqam.ca
Wed Apr 22 16:43:35 CEST 2009


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 

thank you

Pierre Chaussé
economics department

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