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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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) > -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- > r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html > Send "info", "help", or "[un]subscribe" > (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch > _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._ >-- 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 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
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) -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
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 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
> Date: Mon, 11 Mar 2002 15:13:32 -0500 > From: David Brahm <brahm at 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 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._