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Re: diffpara

From: Gerd Bürger
Subject: Re: diffpara
Date: Mon, 25 Sep 2006 15:49:57 +0200
User-agent: Mozilla/5.0 (X11; U; Linux i686; en-US; rv: Gecko/20060728 Thunderbird/ Mnenhy/

I have the impression that the diffpara function from the signal package is flawed. For example, it is obvious that

  D = zeros (b - a + 1, k);
  for l = 1:k
    for m = a:b
      D(m-a+1) = - x(1:m) * y(1:m) / sumsq (x(1:m));

doesn't make much sense as D is 2-dim. Apart from similar mistakes the fractional-d estimation does not seem to use the formula suggested by the reference (Brockwell, GPH regression).

I don't know who is responsible for the signal package. The author of diffpara, F. Leisch, was unresponsive, so I wonder what should be done in this case. I could provide patch that at least restores the intended algorithm in its simplest form.


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