Grokbase Groups R r-help March 2002
FAQ
I'd like to play with ARIMA models of stock prices, but I am a complete novice.
Could some kind soul explain the relationship among packages "ts", "tseries",
"dse", "dse2", and "fracdiff"? Are they 'competing' products or does one
depend on another? Where would be the best place for a novice to begin?
Thanks for any advice.

PS. I have Venables & Ripley's MASS (3rd ed), and the "R Complements" paper, to
work from.
--
-- David Brahm (brahm at alum.mit.edu)
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  • Prof Brian D Ripley at Mar 9, 2002 at 7:18 am

    On Fri, 8 Mar 2002, David Brahm wrote:

    I'd like to play with ARIMA models of stock prices, but I am a complete novice.
    Could some kind soul explain the relationship among packages "ts", "tseries",
    "dse", "dse2", and "fracdiff"? Are they 'competing' products or does one
    depend on another? Where would be the best place for a novice to begin?
    Thanks for any advice.
    Only ts has full handling of ARIMA models. It's changed a lot in R-devel.
    It also provides basic function on which all the others rely.

    tseries contains other models primarily of interest in economics, and
    GARCH models (which are better models of stock prices). It also has
    arma, which is subsumed by arima (and arima0) in R-devel.

    fracdiff handles fractionally differenced models, a very specialized topic.

    The dse bundle majors on multivariate time series.
    PS. I have Venables & Ripley's MASS (3rd ed), and the "R Complements" paper, to
    work from.
    --
    -- David Brahm (brahm at alum.mit.edu)
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    --
    Brian D. Ripley, ripley at stats.ox.ac.uk
    Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
    University of Oxford, Tel: +44 1865 272861 (self)
    1 South Parks Road, +44 1865 272860 (secr)
    Oxford OX1 3TG, UK Fax: +44 1865 272595

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  • Dirk Eddelbuettel at Mar 9, 2002 at 1:08 pm

    On Sat, Mar 09, 2002 at 07:18:17AM +0000, Prof Brian D Ripley wrote:
    Only ts has full handling of ARIMA models. It's changed a lot in R-devel.
    It also provides basic function on which all the others rely.

    tseries contains other models primarily of interest in economics, and
    GARCH models (which are better models of stock prices). It also has
    Hm, "better" sounds odd here.

    They cannot be compared directly: Garch models are different from Arma
    models in the sense of being "arma-type models in the variance". They model
    second moments (variance, and thus volatility), not first moments. Both have
    benn combined by using AR(F)(I)MA for the first moment and Garch-type models
    for the second moment. Doing that estimation jointly is tricky. It is also
    tricky to fit the Ar(f)(i)ma model "well" to financial markets return.
    Low-hanging fruits like this get picked up in the markets the earliest...

    "Better" is of course correct in a less-narrow sense of Garch models being
    considered a generally more valid fit in the variance space than arma models
    in the mean space.
    arma, which is subsumed by arima (and arima0) in R-devel.

    fracdiff handles fractionally differenced models, a very specialized topic.
    A generalisation of ARIMA by relaxing the d=1 restriction. I never had much
    luck with the package -- the covariance matrix estimator seems very broken
    (some elements are in the order of 1e-28, others 1e+20 which cannot be
    sensible; try "example(fracdiff)".) I always meant to debug that but
    haven't.

    Another somewhat important distinction is that David (or I) are not supposed
    to use fracdiff or tseries at work -- fracdiff and some parts of tseries are
    not free for commerical use.

    Dirk

    --
    Good judgement comes from experience; experience comes from bad judgement.
    -- Fred Brooks
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  • David Brahm at Mar 11, 2002 at 3:01 pm

    Dirk Eddelbuettel <edd@debian.org> writes:
    Another somewhat important distinction is that David (or I) are not supposed
    to use fracdiff or tseries at work -- fracdiff and some parts of tseries are
    not free for commerical use.
    Hmm, an interesting twist. The DESCRIPTION file for "tseries" says:
    License: GPL (see file COPYING), except for ./src/muin2ser.f and ./misc
    which are free for non-commercial purposes. See file README for details.
    But there is no README file or /src directiory in the binary distribution, so
    it's hard to figure out what parts I can't use (or should pay for if I do).
    --
    -- David Brahm (brahm at alum.mit.edu)
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  • Roger Peng at Mar 11, 2002 at 4:41 pm

    License: GPL (see file COPYING), except for ./src/muin2ser.f and ./misc
    which are free for non-commercial purposes. See file README for details.
    If that's true, I don't see how that file and the rest of the library can
    be linked together legally.

    -roger
    _______________________________
    UCLA Department of Statistics
    rpeng at stat.ucla.edu
    http://www.stat.ucla.edu/~rpeng
    On Mon, 11 Mar 2002, David Brahm wrote:

    Dirk Eddelbuettel <edd@debian.org> writes:
    Another somewhat important distinction is that David (or I) are not supposed
    to use fracdiff or tseries at work -- fracdiff and some parts of tseries are
    not free for commerical use.
    Hmm, an interesting twist. The DESCRIPTION file for "tseries" says:

    But there is no README file or /src directiory in the binary distribution, so
    it's hard to figure out what parts I can't use (or should pay for if I do).
    --
    -- David Brahm (brahm at alum.mit.edu)
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  • David Brahm at Mar 11, 2002 at 8:13 pm

    Regarding package "tseries", I somewhat inaccurately wrote:
    But there is no README file or /src directiory in the binary distribution...
    What I meant was that after I downloaded "tseries_0.8-4.tar.gz" from CRAN, and
    ran R CMD INSTALL on it, then the resulting package "tseries" under
    <prefix>/lib/R/library had no README or /src. I believe people refer to this
    as the "binary package" (though it is in fact mostly ascii).

    But, if I explicitly gunzip and untar the file "tseries_0.8-4.tar.gz" (creating
    the "source package"), then I see the README file and the /src directory.
    Furthermore, the README very helpfully says:
    License: GPL, except ./src/muin2ser.f and ./misc which are free for
    non-commercial purposes. Only the function amif depends
    on the non GPLed code.
    So I will just avoid using "amif" (the "auto mutual information function").
    --
    -- David Brahm (brahm at alum.mit.edu)
    -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
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  • Paul Gilbert at Mar 11, 2002 at 10:37 pm

    David Brahm wrote:

    Could some kind soul explain the relationship among packages "ts", "tseries",
    "dse", "dse2", and "fracdiff"? Are they 'competing' products or does one
    depend on another?
    "dse2" uses "dse1" (they are in a bundled together) but mostly does not require
    "ts", "tseries", or "fracdiff", although there are a few things where functions
    from "ts" are used (eg. acf) and there is certainly the possibility users would
    want to use all these libraries together, as I think they are mostly
    complementary.
    Where would be the best place for a novice to begin?
    As usual, it depends what you want to do. If you are interested in multivariate
    time series then dse is probably the place to start, and if not, then probably
    not. Dse "out-of-the-bundle" does time-invariant, constant coefficient,
    multivariate state-space and ARMA (VAR, VARX, ARIMA, ARIMAX), but not ARCH or
    GARCH. There are tools for building other kinds of multivariate time series
    models and tools for evaluating estimation techniques, but you would need to do
    some programming. If you start with dse then start by reading the User's Guide
    included in the bundle.

    If you are interested in financial time series then dse "out-of-the-bundle" is
    not great because you will probably want ARCH, GARCH, or some extension, so you
    may be better off with other packages. However, I believe, if you are interested
    in multivariate financial time series then you are going to need to do some
    programming. In that case you may find dse a useful starting point.

    Paul Gilbert
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  • Adrian Trapletti at Mar 12, 2002 at 9:36 am

    Date: Mon, 11 Mar 2002 15:13:32 -0500
    From: David Brahm <brahm@alum.mit.edu>
    Subject: Re: [R] ARMA and ARIMA modeling

    Regarding package "tseries", I somewhat inaccurately wrote:
    But there is no README file or /src directiory in the binary distribution...
    What I meant was that after I downloaded "tseries_0.8-4.tar.gz" from CRAN, and
    ran R CMD INSTALL on it, then the resulting package "tseries" under
    <prefix>/lib/R/library had no README or /src. I believe people refer to this
    as the "binary package" (though it is in fact mostly ascii).

    But, if I explicitly gunzip and untar the file "tseries_0.8-4.tar.gz" (creating
    the "source package"), then I see the README file and the /src directory.
    Furthermore, the README very helpfully says:
    License: GPL, except ./src/muin2ser.f and ./misc which are free for
    non-commercial purposes. Only the function amif depends
    on the non GPLed code.
    So I will just avoid using "amif" (the "auto mutual information function").
    - --
    -- David Brahm (brahm at alum.mit.edu)
    Right. If you want to completely eliminate the non-GPL code, remove (from the source package) the directory misc
    and the file src/muin2ser.f. The only function that will be affected is amif(). The copyright of the non-GPL code
    can be found in misc/README.

    This mixture of GPL and non-GPL code in the same package is maybe not the cleanest solution and it?s on my todo
    list to replace the non-GPL code.

    best
    Adrian


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