Re: tseries

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Subject: Re: tseries
From: Prof Brian D Ripley (ripley@stats.ox.ac.uk)
Date: Fri 16 Jul 1999 - 01:51:04 EST


Message-ID: <Pine.GSO.4.05.9907151649240.26531-100000@auk.stats>

On Thu, 15 Jul 1999, Adrian Trapletti wrote:

> Martyn Plummer wrote:
>
> > Dear Adrian,
>
> Hi Martin
>
> >
> >
> > Thank you for providing your time series library for R. I have been
> > working on a time series package myself, with help from Paul Gilbert. It
> > is called "bats" (doesn't stand for anything except possibly "basic time
> > series") and can be found in the devel directory on CRAN.
> >
> > The "bats" library was a collection of S-PLUS compatibile functions
> > that I needed for my "coda" package. With a little encouragement from
> > Paul, I split these off into a separate package and developed them into
> > more-or-less full clones of the S-PLUS functions. There are a couple of
> > functions yet unwritten (autoregressive estimation via Burg's algorithm
> > and spectral density estimation from fitting ar models) and this is the
> > only reason why the package is in the "devel" directory.
> >
> > I am writing to ask if you would like to merge the two libraries
> > together. The primary design goal of bats is compatibility with S-PLUS,
>
> Even if I would like to, it would not be easy for me because I don't have
> access to any S-PLUS.
>
> To the R developpers: Is that a primary design goal?

One design goal for one library.

> >
> > which may not be what you want. In any case, both libraries are GPL so
> > you are free to use any of the code. Please have a look at bats and
> > tell me what you think.
> >
> > Martyn
>
> I compared the acf functions of both "bats" and "tseries":
>
> > x<-rnorm(10000)
> > library(bats)
> > x<-rnorm(10000)
> > system.time(a<-acf(x,1000))
> [1] 15.70 0.02 31.00 0.00 0.00
> > library(tseries)
> > system.time(a<-acf(x,1000,pl=F))
> [1] 0.29 0.00 1.00 0.00 0.00
> >
>
> I think, to achieve a better performance you should avoid loops of the
> order of the length of a usual data set. It makes your routines very slow.
>
> Though I think we should here some opinions about the design of a time
> series library and then we can discuss about merging any parts or splitting
> some programming work for THE R time series library.

I have been promising to do this for some time (indeed, promised Adrian
to do so). Let me try to do some work on this and come to a proposal
shortly.

Brian

-- 
Brian D. Ripley,                  ripley@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 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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