From: <dethlef_at_math.aau.dk>

Date: Tue 09 Nov 2004 - 18:39:22 EST

Assistant Prof. Claus Dethlefsen, PhD

Department of Mathematical Sciences, Aalborg University Fredrik Bajers Vej 7G, DK-9220 Aalborg, Denmark dethlef@math.aau.dk; www.math.aau.dk/~dethlef Ph: +45 9635 8878; Fax: +45 9815 8129

Date: Tue 09 Nov 2004 - 18:39:22 EST

Dear R-bugs

I have been studying the StructTS function (in package 'stats') and functions supplied with it. I think I have found a few minor bugs in the documentation.

I am referring to the version of StructTS supplied with the release R 2.0.0. Output from 'version'

platform i386-pc-mingw32

arch i386 os mingw32 system i386, mingw32 status major 2 minor 0.0 year 2004 month 10 day 04 language R

- In the help page under "fixed" it is explained (file: R-2.0.0/src/library/stats/man/StructTS.Rd): "If supplied, only non-\code{NA} entries in \code{fixed} will be varied." Either I misunderstand this or there may be a bug in the documentation. As I understand it, setting fixed to the value, eg. c(NA,0,NA,NA) sets the variance of the slope component to 0 and varies the other variances to find the maximum likelihood estimates. If I am right, I suggest the docs changed to: "If supplied, only \code{NA} entries in \code{fixed} will be varied." ("non-" has been deleted).

E.g. try the following after invoking R:

R> StructTS(log10(UKgas), type = "BSM", fixed=c(0,NA,NA,NA))

Observe, that the first variance is fixed to zero, while the remaining three are varied to obtain the maximum likelihood estimates.

2) There is a minor typo in the explanation of 'fitted' - a parenthesis is
missing. I suggest changing

"(that is at time \eqn{t} and not at the end of the series."

to

"(that is at time \eqn{t} and not at the end of the series)."

3) In the documentation, one of the values returned in the list is called

"convergence", while in the code, it is called "code". I suggest either to

change the documentation from

"\item{convergence}{the value returned by \code{\link{optim}}.}"

to

"\item{code}{the value returned by \code{\link{optim}}.}"

or to change the code.

Thank you for supplying a great set of functions.

Best regards,

Claus

Assistant Prof. Claus Dethlefsen, PhD

Department of Mathematical Sciences, Aalborg University Fredrik Bajers Vej 7G, DK-9220 Aalborg, Denmark dethlef@math.aau.dk; www.math.aau.dk/~dethlef Ph: +45 9635 8878; Fax: +45 9815 8129

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