diffinv function output not what I thought

Question

Trying to figure out how to inverse-difference correctly if using 2 differences.

I can difference twice with the option differences = 2 and everything works:

diff(c(3,6,23,64,77)) = 3 17 41 13
diff(c(3, 17, 41, 13)) = 14  24 -28
diff(c(3,6,23,64,77), lag = 1, differences = 2) = 14  24 -28

When I use diffinv twice, using 3 as the init conditions (since the first element of the first difference is 3, the answer is the correct, it is the starting vector:

diffinv(
    diffinv(
        diff(c(3,6,23,64,77), lag = 1, differences = 2), 
    xi = 3), 
xi=3) = 3 6 23 64 77

But if I try to do two inverse differences, I get the incorrect answer:

diffinv(
    diff(c(3, 6, 23, 64, 77), lag = 1, differences = 2), 
    lag = 1, differences = 2, xi = c(3, 3)
) = 3  3 17 55 65

What am I doing wrong when trying to use difinv with differences = 2 ?

score 1 · Answer 1 · answered Jun 17 '20 at 20:49

If you perform the inverse difference individually, you need the first term in each case.

But, if you do two inverse differences at once, you need the first 2 values of the original data

diffinv(
    diff(c(3, 6, 23, 64, 77), lag = 1, differences = 2), 
    lag = 1, differences = 2, xi = c(3, 6)
) = 3  6 23 64 77

Notice in this case I had to use c(3, 6), which are the first two elements of the original data.

In the previous case, I had used diffinv twice, and so c(3, 3) was the first element of original data, and the first element of the first difference of the data.

diffinv function output not what I thought

1 Answers1