Re: [Gretl-devel] arima: can not catch how it works now
On Sat, 10 Nov 2018, oleg_komashko(a)ukr.net wrote:
Dear Allin,
From the previos discussion
I came to think
arima uses standardize(y) + 1
But it is not so:
open greene5_1.gdt
set bfgs_verbskip 999
pops = (pop-mean(pop))/sd(pop)+1
catch arima 0 0; 1 0 ; pop --verbose
arima 0 0; 1 0; pop --x-12-arima
arima 0 0; 1 0; pops --x-12-arima
arima 0 0; 1 0; pops
What is current scaling (if any)?
The scaling is indeed "standardize(y) + 1", but as things stand we
don't apply it in all cases. The criterion for doing so has been:
abs(mean(y)) > 250 || abs(mean(y)) < 0.01 || sd(y)/abs(mean(y)) < 0.01
In git, I've just adjusted the first test to abs(mean(y)) > 200, which
catches the "pop" case.
Allin