Re: [R] why does arima returns "NAN" standard error?

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Mon 05 Jun 2006 - 03:35:06 EST

          Your question does not include a simple, self-contained example (as requested in the posting guide! "www.R-project.org/posting-guide.html").   Without that, I don't even know where to start. However, the model appears to be overparameterized and NOT invertible. Have you made "acf" and "pacf" plots?

          Beyond that, have you studied the time series chapter in Venables and Ripley (2002) Modern Applied Statistics with S (Springer)? If no, I suggest you do that before you do much else. After doing that, if you still have a question for this list, please submit another post, preferably including a simple, self-contained example.

	  Hope this helps,  	
	  Spencer Graves	

Michael wrote:
> Hi everyone,
>
>
> -----------------------------
>
> Coefficients:
>
> ar1 ar2 ma1 ma2 sar1 intercept drift
>
> 1.5283 -0.7189 -1.9971 0.9999 0.3982 0.0288 -9e-04
>
> s.e. 0.0869 0.0835 0.0627 0.0627 0.1305 NaN NaN
>
>
>
> sigma^2 estimated as 0.04383: log likelihood = 4.34, aic = 7.32
>
> Warning message:
>
> NaNs produced in: sqrt(diag(object$var.coef))
>
> -------------------------------------------
>
>
> What does this mean?
>
>
> Thanks a lot!
>
> [[alternative HTML version deleted]]
>
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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Mon Jun 05 03:40:24 2006

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