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Opened 16 years ago

Last modified 16 years ago

#690 closed enhancement

Initial values of ARMA parameters in function GetArimaFromLabel — at Initial Version

Reported by: mafernandez Owned by: Víctor de Buen Remiro
Priority: highest Milestone:
Component: Math Version: 1.1.7
Severity: normal Keywords:
Cc:

Description

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!

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