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[BUGZILLA #658] PR 640 (diff.default computes an incorrect starting time) #762

Closed MichaelChirico closed 4 years ago

MichaelChirico commented 4 years ago

From: Laimonis Kavalieris <lkavalieris@<::CENSORED -- SEE ORIGINAL ON BUGZILLA::>> diff.default computes an incorrect starting time for time series.

An error occurs in the arima0 procedure:

library(ts) y <- ts(rnorm(24),freq=12) x <- ts(rnorm(24),freq=12) arima0(y,xreg=x,seasonal=list(order=c(0,1,0))) Error in tsp<-(tmp, value = c(xtsp[1] + lag differences xtsp[3], : invalid time series parameters specified

This can be traced to the following lines in arima0

class(x) <- NULL diff(x,12,1)

The computation of the starting value of the differenced series in diff.default is incorrect - replacing xtsp[1] + lag differences xtsp[3] by

xtsp[1] + lag * differences / xtsp[3]

gives the correct starting time and the problem vanished in arima0.

Version: platform = i686-pc-linux-gnu arch = i686 os = linux-gnu system = i686, linux-gnu status = major = 1 minor = 1.0 year = 2000 month = June day = 15 language = R

Laimonis Kavalieris Maths and Stats University of Otago Dunedin New Zealand

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MichaelChirico commented 4 years ago

From: Martin Maechler <maechler@<::CENSORED -- SEE ORIGINAL ON BUGZILLA::>> The reported bug in diff.default() has already been corrected for R 1.1.1

thank you anyway, ;-)

Martin Maechler

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MichaelChirico commented 4 years ago

NOTES: same as PR#640. Fixed for 1.2.0

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MichaelChirico commented 4 years ago

Audit (from Jitterbug): Wed Oct 25 06:34:49 2000 ripley changed notes Wed Oct 25 06:34:50 2000 ripley moved from incoming to Language-fixed

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