On Wed, 5 Sep 2007, Megh Dal wrote: > Hi Leeds, Thanx for this reply. Actually I did not want to know whether > any differentiation is needed or not. My question was that : what is the > difference between two models : > > arima(data, c(2,1,2)) > > and > > arima(diff(data), c(2,0,2)) > > If I am correct then those two models are same. Therefore I should get > same results for both of the cases. Am I doing something wrong?
They are not the same. Please do study the help page, and in particular the 'include.mean' argument. One is a model for n observations and the other for n-1 observations, and how that affects the issue is discussed on the help page. With the right options you will get similar but not identical results. > arima(x, c(2,1,2), method="ML") Coefficients: ar1 ar2 ma1 ma2 0.0786 -0.3561 -0.0869 0.1272 s.e. 0.6135 0.4296 0.6564 0.4549 sigma^2 estimated as 0.01368: log likelihood = 46.46, aic = -82.92 > arima(diff(x), c(2,0,2), method="ML", include.mean=FALSE) Coefficients: ar1 ar2 ma1 ma2 0.0786 -0.3561 -0.0869 0.1272 s.e. 0.6135 0.4296 0.6564 0.4549 sigma^2 estimated as 0.01329: log likelihood = 47.38, aic = -82.76 And did you have permission to copy private (and impolite) messages from Mr Leeds to this list? If you did, please say so in your own posting for the record. Since I don't have such permission I have deleted them from this reply. Professor Ripley -- Brian D. Ripley, [EMAIL PROTECTED] 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 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.