[R] ARMA and ARIMA modeling

[Prof Brian D Ripley]

On Fri, 8 Mar 2002, David Brahm wrote:

> I'd like to play with ARIMA models of stock prices, but I am a complete novice.
> Could some kind soul explain the relationship among packages "ts", "tseries",
> "dse", "dse2", and "fracdiff"?  Are they 'competing' products or does one
> depend on another?  Where would be the best place for a novice to begin?
> Thanks for any advice.

Only ts has full handling of ARIMA models.  It's changed a lot in R-devel.
It also provides basic function on which all the others rely.

tseries contains other models primarily of interest in economics, and
GARCH models (which are better models of stock prices).  It also has
arma, which is subsumed by arima (and arima0) in R-devel.

fracdiff handles fractionally differenced models, a very specialized topic.

The dse bundle majors on multivariate time series.

>
> PS. I have Venables & Ripley's MASS (3rd ed), and the "R Complements" paper, to
> work from.
> --
>                               -- David Brahm (brahm at alum.mit.edu)
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-- 
Brian D. Ripley,                  ripley at 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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