|
1 | 1 | #garma 0.9.7 |
2 | 2 |
|
3 | 3 | Version 0.9.7 adds the "tsdiag" function for garma models - this is essentially a copy of the base stats 'tsdiag' |
4 | | -but the fitdf for the Ljung-Box test is set to p+q+k*2. |
| 4 | +but the fitdf for the Ljung-Box test is set to p+q+k*2. We note also that the formal residual tests for GARMA processes does |
| 5 | +not appear to have been formally established at this time. |
5 | 6 |
|
6 | 7 | There was a bug with the standard errors which resulted in Nan being returned for some parameters. This has been fixed. |
| 8 | +Further fixes have applied to the Whittle estimation of the standard errors and to the likelihood calculation. |
| 9 | + |
| 10 | +The fitted values/residuals were not being properly calculated as per 1-step ahead forecasts. This has been rectified |
| 11 | +(although for non-Gegenbauer ARIMA models there may still be some issues which will be looked at later). |
7 | 12 |
|
8 | 13 | The override of the ggplot function for garma models has been removed as this was not standard - the correct way to do this |
9 | | -is 'autoplot' so now the autoplot function has the ability to generate forecasts and plot them. |
| 14 | +is 'autoplot' so now the autoplot function has the ability to generate forecasts and plot them. If no titles and |
| 15 | +subtitles are supplied, these routines will now generate some default ones for you. |
10 | 16 |
|
11 | 17 | A new optimisation method has been added for the "garma" function - this is a genetic algorithm from package GA. |
12 | 18 | It can be used by specifying opt_method='ga'. For now please treat this as experimental - it has given some interesting |
13 | 19 | results on some standard problems and these probably need to be checked further before more general use. |
14 | 20 |
|
15 | | -Otherwise some redundant code has been removed, and also the restriction that integer differencing be restricted to 1 only. |
| 21 | +The "QML" method of estimation was producing too many errors and appeared to be converging to non-optimal solutions too often. |
| 22 | +Until such time as this can be fixed, it has been removed as a valid option. In any case it only supports a k=1 model. |
| 23 | + |
| 24 | +Otherwise some redundant code has been removed, and also the restriction that integer differencing be restricted to 1 |
| 25 | +only - general integer differencing is not supported. |
16 | 26 |
|
17 | 27 | #garma 0.9.6 |
18 | 28 |
|
|