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aroma
2007 Apr 17
1
predict.ar() produces wrong SE's (PR#9614)
...integer(npsi), where npsi <- n-1.
Some R code following reproduces the error. Let p=4, n=6, then
> ar<-c(-0.5,0.25,-0.125,0.0625)
> Mod(polyroot(c(1,-ar))) # ar model is stationary
[1] 1.037580 2.444163 2.444163 2.581298
> #Pass in values as predict.ar does
> cumsum(c(1,.C("artoma",as.integer(4),as.double(ar),double(9),as.integer(5))[[3]][1:5]^2))
[1] 1.000000 1.250000 1.312500 1.328125 1.332031 1.332031
> #Pass in value that C code expects
> cumsum(c(1,.C("artoma",as.integer(4),as.double(ar),double(9),as.integer(9))[[3]][1:5]^2))
[1] 1.000000 1.250000 1...