[R] ARIMA standard error

[Prof Brian Ripley]

On Fri, 16 Mar 2007, Gad Abraham wrote:

> Andrew Robinson wrote:
>> Hi Gad,
>>
>> try:
>>
>>
>>> class(a)
>> [1] "Arima"
>>> getAnywhere(print.Arima)
>
> Thanks Andrew.
>
> For the record, the standard error is the square root of the diagonal of
> the covariance matrix a$var.coef (itself obtained through some magic):
>
> ses[x$mask] <- round(sqrt(diag(x$var.coef)), digits = digits)

And for the record, ?arima does tell you about the component var.coef, and 
also suggests the vcov() method to extract the variance matrix.

-- 
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)
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