Re: tseries

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Subject: Re: tseries
From: Kurt Hornik (
Date: Fri 16 Jul 1999 - 02:38:03 EST

Message-ID: <>

>>>>> Martin Maechler writes:

> Dear Adrian (and everyone else), to the same topic, I've got a file
> "tseries-comments" five days old that I never got around polishing
> before sending to you :

>>> Thank you very much for the functionality !
>>> - tsparam : not the best name for that class.. ???
>>> ybnd : should be allowed to have EITHER length 1 of length = length(x)
--> my patched version
>>> - plot.tsparam: use 'type = "h"' as default!
>>> - acf, pacf :
>>> are *one* function in S-plus,
>>> use 'plot = T', not 'pl = T' as argument
>>> (in line with several other R functions !)
--> other small improvements...
>>> {including: instead of rep(0, nnn), use numeric(nnn) }
--> my version
>>> [[ I'll send this in private to Adrian ]]

> As you see,
> some of these 5day old comments are in line with Martyn's
> (he is Martyn, I am Martin).

> A few thoughts :

> - Yes, we want to be S(-plus) compatible as long as it is not too hard
> or there are not good reasons against compatibility.

> Particularly, acf(), spec.pgram(), spectrum(), ar(), ar.yw() should
> have compatible argument names [at least for the important ones] to
> make it easy to many users moving from S to R (;-).


> - Of course, it is *the wise thing* to use FFT for acf -- for the case
> of no NAs.. [and I think the NA case should be handled as well, and
> for small no-NA series that straightforward method will probably be
> faster > than FFT as well ].

> - I'd very much appreciate if Martyn and you and Paul G. (and Brian
> and Ross and ... and me, we also have a few improvements on S-plus
> laying around here) could coordinate to produce ``the real'' time
> series package for R.

> - As a matter of fact, I hope that some of the functions would become
> part of "Core R" (such as e.g. "modreg" is base of "Core R"), since
> e.g., the availability of acf() should not depend on having a
> contributed package installed on top of "Core R".

Yes, definitely.

> Thanks once more to all the "time series" coders !

What I'd like to see in particular is some work going into model-style
interfaces. Not sure exactly what it would be like, but something like

   armaxm(y ~ x, orderspecifications)

or maybe even

   armaxm(y ~ A(L) * y + B(L) * e + C(L) * x, ...)

Actually, creating an ARMA model could happen via the parameters or via
fitting data, so here is an extra challenge.

(A comment on tseries: If possible, I'd prefer to use UC ini style
naming for data sets, such as TreeRing etc. Name space etc ...)


> Martin Maechler <>
> Seminar fuer Statistik, ETH-Zentrum SOL G1 Sonneggstr.33
> ETH (Federal Inst. Technology) 8092 Zurich SWITZERLAND
> phone: x-41-1-632-3408 fax: ...-1086 <><
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