#690 closed enhancement (fixed)
Initial values of ARMA parameters in function GetArimaFromLabel
Reported by: | mafernandez | Owned by: | Víctor de Buen Remiro |
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Priority: | highest | Milestone: | |
Component: | Math | Version: | 1.1.7 |
Severity: | normal | Keywords: | |
Cc: |
Description (last modified by )
It is suggested to change the initial values for the polynomials AR or MA into the function GetArimaFromLabel
placed in stdlib/math/stat/models/mle/arima/_fun_general.tol
Just now it appears:
Polyn ar = GetPolynFromLabel("AR", arTxt, 0.1, period); Polyn ma = GetPolynFromLabel("MA", maTxt, 0.1, period);
The change is suggested to be:
Polyn ar = GetPolynFromLabel("AR", arTxt, 0.1, period); Polyn ma = GetPolynFromLabel("MA", maTxt, 0.2, period);
Or any other initial values, but different for AR and MA, in order to avoid the mistake of an BSR estimation when the arguments of the function ArimaStruct
are constructed from GetArimaFromLabel
.
thanks!
Change History (3)
comment:1 Changed 16 years ago by
Description: | modified (diff) |
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Status: | new → assigned |
comment:2 Changed 16 years ago by
Resolution: | → fixed |
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Status: | assigned → closed |
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(In [983]) Fixes #690