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Rev 69588 Rev 70613
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ts.plot(AirPassengers, 10^tl, 10^tu, log = "y", lty = c(1,2,2))
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ts.plot(AirPassengers, 10^tl, 10^tu, log = "y", lty = c(1,2,2))
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## full ML fit is the same if the series is reversed, CSS fit is not
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## full ML fit is the same if the series is reversed, CSS fit is not
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ap0 <- rev(log10(AirPassengers))
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ap0 <- rev(log10(AirPassengers))
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attributes(ap0) <- attributes(AirPassengers)
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attributes(ap0) <- attributes(AirPassengers)
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arima(ap0, c(0, 1, 1), seasonal = list(order=c(0, 1 ,1), period=12))
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fr1 <- arima(ap0, c(0, 1, 1), seasonal = list(order=c(0, 1 ,1), period=12))
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arima(ap0, c(0, 1, 1), seasonal = list(order=c(0, 1 ,1), period=12),
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fr2 <- arima(ap0, c(0, 1, 1), seasonal = list(order=c(0, 1 ,1), period=12),
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      method = "CSS")
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             method = "CSS")
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i <- c("coef", "sigma2", "var.coef")
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stopifnot(all.equal(fr1[i], fit[i], tol=4e-4))# 64b: 9e-5 is ok
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## Structural Time Series
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## Structural Time Series
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ap <- log10(AirPassengers) - 2
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ap <- log10(AirPassengers) - 2
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(fit <- StructTS(ap, type= "BSM"))
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(fit <- StructTS(ap, type= "BSM"))
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par(mfrow=c(1,2))
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par(mfrow=c(1,2))