[R] estimates for e in procedure arima0() ?
Prof Brian Ripley
ripley at stats.ox.ac.uk
Thu Apr 12 18:59:46 CEST 2001
On 12 Apr 2001, Kai Arzheimer wrote:
> Dear all,
> this may be a stupid question but...
> The underlying model in procedure arima0 is
> X[t] = aX[t-1] + ... + a[p]X[t-p] + e[t] + be[t-1] + ... +b[q]e[t-q]
> Is it possible to get an estimate of e for every point t, t-1 etc. or
> at least an estimate of the variance of e?
e is not a parameter, so you cannot estimate it. However, its variance is
a parameter whose estimate is quoted in the standard output:
arima0> arima0(lh, order = c(1, 0, 0))
arima0(x = lh, order = c(1, 0, 0))
Approx standard errors:
sigma^2 estimated as 0.1975: log likelihood = -29.38, aic = 62.76
I suspect that by `estimate of e' you mean the residuals returned in the
resid component of the fit.
> Thanks a lot in advance for any hints
Hint: read the help page, run the examples, compare the output with the
references, make sure you understand what each piece means.
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272860 (secr)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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