RE: time series in R

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Subject: RE: time series in R
From: Martyn Plummer (plummer@iarc.fr)
Date: Tue 20 Jul 1999 - 19:22:49 EST


Message-ID: <XFMail.990720112249.plummer@iarc.fr>

On 19-Jul-99 Prof Brian D Ripley wrote:
> Time Series functions in R
> ==========================
> If Martyn and Adrian are agreeable, I will start a library(ts) in the
> 0.65 version. I will put in this:
>
> the ts class and methods (maybe in due course these should be removed
> from the base package?)

Some of the ts class stuff is implemented in the C code of the base
library. I'm not sure you can separate this.

I also suggested an "na.omit" method for time series, which would be
used by many of the time series functions. Martin has made na.omit()
and na.fail() generic so this is possible now.

> datasets from MASS, tseries
>
> lag, deltat, cycle
> filter

I think there is some functional overlap between filter() and convolve(),
which now has a type="filter" option. I'm not sure convolve() needs this
if there is a filter() function.

> acf from bats, augmented by ideas from tseries.

I updated acf() in bats_0.1-3.tar.gz (now on CRAN) to use FFT instead,
after seeing its rather embarrassing performance.

> spectrum, spec.pgram from bats (after looking at tseries hard)

Adrian's spectrum() function allows a wider range of kernel smoothers
and it would be nice to keep this. Since spectrum() is just a wrapper
function anyway, it should be possible to do this, while keeping the
S-PLUS compatible interface.

> spec.taper
> cpgram from MASS
>
> ar.yw from bats (although that probably needs to be moved to
> C/Fortran, and I may special-case the univariate case to use code I
> have for that).

I haven't tried very hard to make my code efficient, as you can see,
concentrating instead on getting something that works like the S-PLUS
version. Much of the work involved trying to get the same answer as
S-PLUS, and when that wasn't possible, trying to work out what S-PLUS
was doing wrong (see the COMPAT file).

I think the multivariate version would be harder to implement in C.
I will see if I can speed the R code up.

I have been looking at Burg's algorithm and I think I can implement
this now, if you want.

> As the feature-freeze for 0.65 is probably about 2-3 weeks away, we
> ought to concentrate on getting the basic stuff (bats-like) in first.
>
> How does that sound as a plan?

Sounds good.

Martyn
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