Re: [R] AR vs ARIMA question

2011-07-07 Thread peter dalgaard
On Jul 7, 2011, at 22:21 , Prof Brian Ripley wrote: > On Thu, 7 Jul 2011, peter dalgaard wrote: > >> >> On Jul 7, 2011, at 19:52 , Prof Brian Ripley wrote: >> >>> Yes, ar and arima are using different estimation methods: arima is mle >>> whereas the default is method-of-moments. >>> >>> With

Re: [R] AR vs ARIMA question

2011-07-07 Thread Prof Brian Ripley
On Thu, 7 Jul 2011, peter dalgaard wrote: On Jul 7, 2011, at 19:52 , Prof Brian Ripley wrote: Yes, ar and arima are using different estimation methods: arima is mle whereas the default is method-of-moments. With such a large ar coefficient the end effects will matter, and the mle (done by

Re: [R] AR vs ARIMA question

2011-07-07 Thread peter dalgaard
On Jul 7, 2011, at 19:52 , Prof Brian Ripley wrote: > Yes, ar and arima are using different estimation methods: arima is mle > whereas the default is method-of-moments. > > With such a large ar coefficient the end effects will matter, and the mle > (done by arima or ar.mle or ar(method="mle"))

Re: [R] AR vs ARIMA question

2011-07-07 Thread Prof Brian Ripley
Yes, ar and arima are using different estimation methods: arima is mle whereas the default is method-of-moments. With such a large ar coefficient the end effects will matter, and the mle (done by arima or ar.mle or ar(method="mle")) is the more accurate method since it makes maximal use of the

Re: [R] AR vs ARIMA question

2011-07-07 Thread apjaworski
ate: 07/07/2011 10:01 AM Subject: Re: [R] AR vs ARIMA question Sent by: r-help-boun...@r-project.org WARNING: The following might be **complete baloney** (and my apologies if so). Erin: I hope you get a definitive reply on this from a real expert, but if memory serves, they might be using

Re: [R] AR vs ARIMA question

2011-07-07 Thread Bert Gunter
WARNING: The following might be **complete baloney** (and my apologies if so). Erin: I hope you get a definitive reply on this from a real expert, but if memory serves, they might be using two different estimation algorithms. ar() is just doing Yule-Walker recursive calculation as described in Box

[R] AR vs ARIMA question

2011-07-07 Thread Erin Hodgess
Dear R People: Here is some output from AR and ARIMA functions: > xb <- arima.sim(n=120,model=list(ar=0.85)) > xb.ar <- ar(xb) > xb.ar Call: ar(x = xb) Coefficients: 1 0.6642 Order selected 1 sigma^2 estimated as 1.094 > xb.arima <- arima(xb,order=c(1,0,0),include.mean=FALSE) > xb.arima