E•r•R•a•t•A
NOTE: The page numbers of the hard copy and the electronic copy differ a little, so consider the page numbers below as approximate.
Chapter 1
Chapter 2
- Footnote 1, p52: Lk is the max-ed likelihood, not the logged value... but you knew that already.
- Example 2.2, p56: The regression shown on the top of page 56 is for
trend = 1:length(cmort) and not the value specified on line 9 of the code below the equation.
- Problem 2.10, p81: The model in the problem statement is supposed to be a restatement of the model in (2.46);
that is, the sum should be to n/2 instead of n.
Chapter 3
- p149 - end of first paragraph:
"... MA(2) model in (3.152)." should be
"... MA(2) model in (3.151)."
- p152: The figure on this page seems to have another ghost figure on top of it (at least in the hardcopies I've seen), but it's supposed to look like this:
page 152.
Chapter 4
- Equation (4.16), p184: The equation is missing an eye. It should read ...
(e−2 π i ω + e2 π i ω) ...
- Problems: The Section 4.6 problems (4.17 and 4.18) on page 260 should be in Section 4.8.
In addition, Problems 4.25 - 4.27 in Section 4.8 problems on page 262 should be in Section 4.6.
(This is the case for the 2nd edition, too).
Chapter 5
- Section 5.8: Γ is k × r in both equations (5.86) and (5.98),
not p × r.
Chapter 6
- p354: equation (6.103): εt+1 should be εt
and equation (6.104): At+1 should be At
- p337, last sentence: ... optim call in line 18 ... instead of line 19
- p344, line 6: ... Deistler, 1988 ... instead of ... Diestler, 1988 ...
- p369: the line below equation (6.145) should have the sum over j, not
i:
Σ m
j=1
πij = 1
- p383, just below (6.183): ... normal density N(., σj2) ...
should be ... normal density N(., Σtj )...
- Example 6.19, pp385+: The words say ... residuals from an MA(2) fit ... but the code on line 4 says
fit = arima(gnpgr, order=c(1,0,0)), so I'm guessing the code is correct and the analysis is on the AR(1) residuals.
There shouldn't be much difference either way.
Chapter 7
Elsewhere
- Example A.2, p509: In the last line of the inequality below (A.11), change
γx(0) to
[ γx(0) + μx2 ]
