[R] ARIMA standard error

From: Gad Abraham <g.abraham_at_ms.unimelb.edu.au>
Date: Fri 16 Mar 2007 - 02:47:25 GMT

Hi,

Can anyone explain how the standard error in arima() is calculated?

Also, how can I extract it from the Arima object? I don't see it in there.

> x <- rnorm(1000)
> a <- arima(x, order = c(4, 0, 0))
> a

Call:
arima(x = x, order = c(4, 0, 0))

Coefficients:

           ar1     ar2     ar3      ar4  intercept
       -0.0451  0.0448  0.0139  -0.0688     0.0010
s.e.   0.0316  0.0316  0.0317   0.0316     0.0296

sigma^2 estimated as 0.9775: log likelihood = -1407.56, aic = 2827.12
> names(a)

  [1] "coef"      "sigma2"    "var.coef"  "mask"      "loglik"    "aic" 
       "arma"      "residuals" "call"      "series"    "code" 

"n.cond" "model"

Thanks,
Gad

-- 
Gad Abraham
Department of Mathematics and Statistics
The University of Melbourne
Parkville 3010, Victoria, Australia
email: g.abraham@ms.unimelb.edu.au
web: http://www.ms.unimelb.edu.au/~gabraham

______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Received on Fri Mar 16 13:54:14 2007