Re: ``the real'' time series package

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Subject: Re: ``the real'' time series package
From: Prof Brian D Ripley (ripley@stats.ox.ac.uk)
Date: Fri 16 Jul 1999 - 08:25:16 EST


Message-ID: <Pine.GSO.4.05.9907152315160.6049-100000@auk.stats>

On Thu, 15 Jul 1999, Paul Gilbert wrote:

> >- 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.
>
> I'd like to split this into pieces:
>
> - Some core functions for Splus compatibility. (acf and ar are the important
> ones for me right now, but the spectrum stuff is important too.) Name space
> conflicts will be a problem if there are two versions of, for example, acf,
> which take different arguments (and give different results - although bats acf
> purposely gives different results from Splus). The objective of "bats" was to
> fill this gap.

[...]

> I do hope people will work on new stuff rather than things which are already
> done by someone else. It might be useful to put a "time series" bullet on CRAN
> (in contrib/PACKAGES.html probably) giving a general outline of what is where. I
> get pretty upset when I see references to the lack of time series functionality
> in R. (My DSE package is in the development area of CRAN only because the
> documentation is in HTML rather than R's .Rd format and R's installation
> procedures have been changing. The code is not unstable or incomplete. The
> version on CRAN installed with 0.63? and the most recent version at
> <http://www.bank-banque-canada.ca/pgilbert> installs with 0.64 and 0.65)

Paul:

you are taking a limited view of time series analysis: there _is_ a
lot missing from R (even if DSE is included, and as it lacks R
documentation and a Windows port, that is a moot point). In particular
there is no AFAIK

de-seasonalizing (e.g. X11-ARIMA or whatever, stl, sabl)
easy-to-use (seasonal) ARIMA fitting
flexible spectral analysis
GARCH etc
regression with autocorrelated errors and related econometric techniques
(there is now some in lme, but I still have problems with that under R).

Compared to S-PLUS (especially 5.1, including the add-on modules) I think
`the lack of time series functionality in R' is fair comment. Let's
change that. Some of it is easy to do: the S-PLUS spectral analysis stuff
is based on Bloomfield's code, and I already have a package based on that.
Similarly, I have easy-to-use (seasonal) ARIMA fitting to hand.

I'll try to review what we do have and the gaps and report to R-devel
on Monday.

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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