Re: [R] ARIMA standard error

From: Andrew Robinson <A.Robinson_at_ms.unimelb.edu.au>
Date: Fri 16 Mar 2007 - 03:06:05 GMT

Hi Gad,

try:

> class(a)

[1] "Arima"
> getAnywhere(print.Arima)

...

Cheers,

Andrew

On Fri, Mar 16, 2007 at 01:47:25PM +1100, Gad Abraham wrote:
> 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
>
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-- 
Andrew Robinson  
Department of Mathematics and Statistics            Tel: +61-3-8344-9763
University of Melbourne, VIC 3010 Australia         Fax: +61-3-8344-4599
http://www.ms.unimelb.edu.au/~andrewpr
http://blogs.mbs.edu/fishing-in-the-bay/

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Received on Fri Mar 16 14:13:14 2007

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