[R] Arima bug?
Peter Dalgaard
p.dalgaard at biostat.ku.dk
Fri Feb 20 01:06:25 CET 2009
rkevinburton at charter.net wrote:
> I was looking at the 'R' code associated with arima. I see the following:
>
> upARIMA <- function(mod, phi, theta) {
> p <- length(phi)
> q <- length(theta)
> mod$phi <- phi
> mod$theta <- theta
> r <- max(p, q + 1)
> if (p > 0)
> mod$T[1:p, 1] <- phi
> if (r > 1)
> mod$Pn[1:r, 1:r] <- .Call(R_getQ0, phi, theta)
> else if (p > 0)
> mod$Pn[1, 1] <- 1/(1 - phi^2)
> else mod$Pn[1, 1] <- 1
> mod$a[] <- 0
> mod
> }
>
>
> In particular the statement:
>
> else if (p > 0)
> mod$Pn[1, 1] <- 1/(1 - phi^2)
....
>
> So I was wondering if there is something that I am missing that will
"guarantee" that the length of the phi vector in this case is always 1.
There is. You are only getting there if r > 1 is FALSE, and by the
definition of r, that can only happen if q==0 and (p==0 or p==1).
--
O__ ---- Peter Dalgaard Øster Farimagsgade 5, Entr.B
c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K
(*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907
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