[R] AR vs ARIMA question

[peter dalgaard]

On Jul 7, 2011, at 19:52 , Prof Brian Ripley wrote:

> Yes, ar and arima are using different estimation methods: arima is mle whereas the default is method-of-moments.
> 
> With such a large ar coefficient the end effects will matter, and the mle (done by arima or ar.mle or ar(method="mle")) is the more accurate method since it makes maximal use of the ends of the series.

Yes, but...

MLE also has subtly stronger assumptions, namely that the whole series is stationary. This boils down to the first observation(s) having the stationary mean and variance. This is not always the case if, e.g., the system is measured following some initial perturbation. 

-- 
Peter Dalgaard
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com