[R] ARIMA standard error

[Gad Abraham]

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 at ms.unimelb.edu.au
web: http://www.ms.unimelb.edu.au/~gabraham