[R] StructTS standard errors

David Winsemius dwinsemius at comcast.net
Tue Dec 22 18:52:20 CET 2009


On Dec 22, 2009, at 11:55 AM, Giovanni Petris wrote:

>
> David,
>
> Thank you for the insight.

Right.
>
> HA1) StructTS() ships with R in package stats.
>
> HA2) I don't see anything strange or unusual in looking for standard  
> errors
>         of estimated parameters. In structural time series the only  
> unknown
>         parameters, estimated by StructTS(), happen to be variances.
>         (Incidentally, I know how to take square roots in R)

Yes. I figured most of this out after doing a bit of searching. Both  
of my off-target points amply illustrate my lack of experience with  
this particular time-series function.

So let me ask a question: Would the domain of stochastic processes be  
relevant here? I am wondering if the theoretical results in Ito  
calculus might let you assign a more reasonable estimate for future  
behavior. My memory is that random processes with measured (past)  
variances under conditions of "temporal homogeneity" (there's probably  
a more mathematically correct terminology)  should have a predictable  
relationship to the underlying variance parameter.

-- 
David Winsemius

>
> Best,
> Giovanni
>
> ----- Original Message -----
> From: David Winsemius <dwinsemius at comcast.net>
> Date: Monday, December 21, 2009 3:50 pm
> Subject: Re: [R] StructTS standard errors
>
>> Alternate hypotheses:
>>
>> HA1: There is no one in the readership who is familiar with the
>> function (unlikely), or among those lacking knowledge of what
>> package
>> it might reside in (such as myself)  chose not to look up what you
>> might have provided on the first posting: a self-contained example
>> to
>> work with.
>>
>> HA2: Your question also suggests a certain statistical confusion.
>> Do
>> your really want standard errors of estimated variances? That would
>> be
>> somewhat unusual. Or do you want to take the square-roots of the
>> variances to get standard errors of the estimated coefficients?
>>
>>
>> On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote:
>>
>>>
>>> Sorry for asking again, but I did not receive any answers - I
>> know
>>> it's a busy time... ;-)
>>>
>>> Shell I conclude that it is not possible to obtain standard
>> errors
>>> from StructTS()
>>> or its output?
>>>
>>> Thanks,
>>> Giovanni Petris
>>>
>>> ----- Original Message -----
>>> From: Giovanni Petris <gpetris at uark.edu>
>>> Date: Thursday, December 17, 2009 10:13 am
>>> Subject: [R] StructTS standard errors
>>>
>>>>
>>>> Hello,
>>>>
>>>> Does anybody know if (and how) it is possible to obtain standard
>>>> errors of estimated variances from StructTS? (R 2.10.0).
>>>>
>>>> Thank you in advance,
>>>> Giovanni
>> -- 
>> David Winsemius, MD
>> Heritage Laboratories
>> West Hartford, CT
>>
>>

David Winsemius, MD
Heritage Laboratories
West Hartford, CT



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