Re: [Rd] bug in arima? (PR#9404)

From: <murdoch_at_stats.uwo.ca>
Date: Thu 30 Nov 2006 - 19:40:52 GMT


On 11/30/2006 2:20 PM, aim@stats.uwo.ca wrote:
> 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.

But it's working as documented, so this is not a bug. I'd be very reluctant to change the meaning of that parameter.

Duncan

> 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.



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