[R] AR vs ARIMA question

[Prof Brian Ripley]

On Thu, 7 Jul 2011, peter dalgaard wrote:

>
> On Jul 7, 2011, at 19:52 , Prof Brian Ripley wrote:
>
>> Yes, ar and arima are using different estimation methods: arima is 
>> mle whereas the default is method-of-moments.
>>
>> With such a large ar coefficient the end effects will matter, and 
>> the mle (done by arima or ar.mle or ar(method="mle")) is the more 
>> accurate method since it makes maximal use of the ends of the 
>> series.
>
> Yes, but...
>
> MLE also has subtly stronger assumptions, namely that the whole 
> series is stationary. This boils down to the first observation(s) 
> having the stationary mean and variance. This is not always the case 
> if, e.g., the system is measured following some initial 
> perturbation.

But Yule-Walker (as distinct from OLS) also makes that assumption.

>
> -- 
> Peter Dalgaard
> Center for Statistics, Copenhagen Business School
> Solbjerg Plads 3, 2000 Frederiksberg, Denmark
> Phone: (+45)38153501
> Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com
>
>

-- 
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 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595