[Rd] bug in arima?

From: A.I. McLeod <aim_at_stats.uwo.ca>
Date: Thu 30 Nov 2006 - 19:19:53 GMT


I don't think arima works exactly the way one would expect when there is differencing. What I think should happen is that by default the mean of the differenced series is estimated and if include.mean=F, then it is not. This is not what happens. Instead when there is differencing the include.mean argument is ignored.

Now I guess, someone could argue that the mean of the original series doesn't exist when using a model with differencing. In this case, then the arima function doesn't conveniently estimate models with deterministic drift like the ARIMA(0,1,1) with drift. Such models are occassionally important.

As a workaround, one can do the differencing outside of arima. But I don't think things should work like that!

Most other time series software doesn't do this.

Ian McLeod



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