On 10.09.2011 01:54, Stephen Sefick wrote:
Those are not "very" different.  I would suspect they are within
computer rounding error.  Only numbers of log2 can be represented
exactly, could that be it?  Did you compiled the two versions
differently, or could something have changed between 2.11.1 to 2.12.2 -
both of which are old versions of R?  If you provide a reproducible
example I will gladly run it to compare your results with 2.13.1.  Maybe
somebody else will have a more helpful response.


No, you are so right: We do not no OS, architecture, 32 vs 64-bit, BLAS in use, compiler differences etc. on that machine, and minor numerical differences can be caused by anything.

Uwe Ligges

FWIW,

Stephen Sefick

On 09/09/2011 04:43 PM, Luis Felipe Parra wrote:
Hello , I have estimated the following model, a sarima:

p=9
d=1
q=2
P=0
D=1
Q=1
S=12


In R 2.12.2
Call:
arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
period = S),
      optim.control = list(reltol = tol))

Coefficients:
           ar1     ar2      ar3     ar4     ar5     ar6      ar7      ar8
ar9
        0.3152  0.8762  -0.4413  0.0152  0.1500  0.0001  -0.0413  -0.1811
   0.0646
s.e.  0.0865  0.0885   0.1141  0.1181  0.1196  0.1220   0.1120   0.0908
   0.0865
            ma1      ma2     sma1
        -0.0221  -0.9779  -0.7635
s.e.   0.0539   0.0534   0.0834

sigma^2 estimated as 1.965e+17:  log likelihood = -3316.07,  aic = 6658.13


and in In R 2.11.1
Call:
arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
period = S),
      optim.control = list(reltol = tol))

Coefficients:
           ar1     ar2      ar3     ar4     ar5    ar6      ar7      ar8
ar9
        0.3152  0.8761  -0.4413  0.0153  0.1500  0.000  -0.0413  -0.1810
   0.0646
s.e.  0.0865  0.0885   0.1141  0.1181  0.1196  0.122   0.1120   0.0908
   0.0865
            ma1      ma2     sma1
        -0.0221  -0.9779  -0.7635
s.e.   0.0539   0.0534   0.0834

sigma^2 estimated as 1.965e+17:  log likelihood = -3316.07,  aic = 6658.13

and as you can see in the results some coefficients (for example ar2 and
ar8) are different in the different R versions. does anybody know what might
be going on. Was there any change in the arima function between the two
versions?

Thank you

Felipe Parra



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