Re: [R] fracdiff

From: Melissa Ann Haltuch <mhaltuch_at_u.washington.edu>
Date: Tue 25 Jul 2006 - 07:31:34 EST


Hi Spencer,
Thanks for the direction. Yes, I am after the sigma for the estimated variance of the whitened residuals. I'll give your code a try! Cheers,
Melissa

On Sun, 23 Jul 2006, Spencer Graves wrote:

> Confidence intervals for the fracdiff parameter estimates shouldn't be too
> difficult: the ?fracdiff help file says it returns a list with components
> including 'd', 'ar' 'ma', and 'stderror.dpq'. From these one should easily get
> the coeffecients, standard errors and naive, Wald confidence intervals; for
> your convenience, I've embedded these in the functions 'coef.fracdiff' and
> 'confint.fracdiff' given below.
>
> By 'sigma2', I assume you mean the estimated variance of the whitened
> residuals. That is not so obvious. For that, I might try
> 'arima(fitdiff(...))$sigma2', operating on a 'fracdiff' fit.
>
> Hope this helps.
> Spencer Graves
> ##### coef and confint functions for output of fracdiff:
> coef.fracdiff <- function(object){
> unlist(object[c("d", "ar", "ma")])
> }
>
> confint.fracdiff <- function(object, parm, level=0.95, ...){
> b <- coef.fracdiff(object)
> se <- object$stderror.dpq
> names(se) <- names(b)
> #
> if(missing(parm))
> parm <- 1:length(b)
> b. <- b[parm]
> se. <- se[parm]
> #
> conf.c <- (1-level)/2
> conf2 <- c(conf.c, 1-conf.c)
> confNames <- paste(100*conf2, "%")
> k. <- length(b.)
> CI <- b+outer(se., qnorm(conf2))
> dimnames(CI)[[2]] <- confNames
> CI
> }
>
>
>
> Melissa Ann Haltuch wrote:
>> Hi, I'm using the function fracdiff and can not
> figure out how to get the estimated values for
> sigma2 or confidence intervals for the parameter
> estimates. Does anyone know how to obtain these
> values?
>> Thanks,
>> Melissa
>>
>> ______________________________________________
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>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>



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 Tue Jul 25 08:52:34 2006

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