**Subject: **Re: time series in R

**From: **Ross Ihaka (*ihaka@stat.auckland.ac.nz*)

**Date: **Tue 20 Jul 1999 - 06:49:23 EST

**Next message:**Paul Gilbert: "Re: time series in R"**Previous message:**Paul Gilbert: "Re: time series in R"**In reply to:**Prof Brian D Ripley: "time series in R"**Next in thread:**Paul Gilbert: "Re: time series in R"**Reply:**Ross Ihaka: "Re: time series in R"

Message-ID: <Pine.GSO.4.10.9907200812190.9849-100000@stat1.stat.auckland.ac.nz>

On Mon, 19 Jul 1999, Prof Brian D Ripley wrote:

*> Time Series functions in R
*

I agree with basically everything Brian says, and would add the

following thoughts:

1. Think carefully about defining interfaces before leaping

into code. By defining an interface independent of the

particular code at hand we will make it easier to switch to

new code.

2. Think multivariate even when implementing a function for

univariate series. If the interface is defined well, it

should later be able to generalize to the multivariate case.

I'd hate to see a second multivariate time-series package

come along later.

3. On the definition question: The existing FFT implementation

uses a particular definition for the discrete transform which

is pretty standard. (Edwards "Fourier Series", Brillinger

"Time Series" etc.) Using another definition may complicate

documentation.

4. The notation for ARMA models may well be the stuff that

holy wars are made of, but my personal preference is

X[i] + phi[1] * X[i - 1] + ... + phi[p] * X[i - p]

= theta[0] + epsilon[i] + ... + theta[q] * epsilon[i - q]

[ Man to judge: ``It was self defense - I thought he was

going to hit me, so I hit him first.'' ]

I'd also add a request for some flexible structural modelling code.

I've pretty much abandonded teaching ARIMA models in favour of

structural models. (I've written some general code for this, but

there is probably better code about. There are a couple of TOMS

algorithms for Kalman Filtering which should be checked out.)

Finally: Does anyone know Kitagawa? He has some very nice time series

and smoothing code. Could he be persuaded to make it available?

Ross

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**Next message:**Paul Gilbert: "Re: time series in R"**Previous message:**Paul Gilbert: "Re: time series in R"**In reply to:**Prof Brian D Ripley: "time series in R"**Next in thread:**Paul Gilbert: "Re: time series in R"**Reply:**Ross Ihaka: "Re: time series in R"

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