[R] ARIMA standard error

[Andrew Robinson]

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 at 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/