On 11/30/2006 2:20 PM, [EMAIL PROTECTED] wrote: > I don't think arima works exactly the way one would expect when there is > differencing. What I think should happen is that by > default the mean of the differenced series is estimated and if > include.mean=F, then it is not. This is not what happens. Instead > when there is differencing the include.mean argument is ignored.
But it's working as documented, so this is not a bug. I'd be very reluctant to change the meaning of that parameter. Duncan > Now I guess, someone could argue that the mean of the original series doesn't > exist when using a model with differencing. In this > case, then the arima function doesn't conveniently estimate models with > deterministic drift like the ARIMA(0,1,1) with drift. Such > models are occassionally important. > > As a workaround, one can do the differencing outside of arima. But I don't > think things should work like that! > > Most other time series software doesn't do this. ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
