[R] StructTS standard errors
dwinsemius at comcast.net
Tue Dec 22 18:52:20 CET 2009
On Dec 22, 2009, at 11:55 AM, Giovanni Petris wrote:
> Thank you for the insight.
> HA1) StructTS() ships with R in package stats.
> HA2) I don't see anything strange or unusual in looking for standard
> of estimated parameters. In structural time series the only
> 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.
> ----- 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
>> 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
>> work with.
>> HA2: Your question also suggests a certain statistical confusion.
>> your really want standard errors of estimated variances? That would
>> 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
>>> it's a busy time... ;-)
>>> Shell I conclude that it is not possible to obtain standard
>>> from StructTS()
>>> or its output?
>>> Giovanni Petris
>>> ----- Original Message -----
>>> From: Giovanni Petris <gpetris at uark.edu>
>>> Date: Thursday, December 17, 2009 10:13 am
>>> Subject: [R] StructTS standard errors
>>>> 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,
>> David Winsemius, MD
>> Heritage Laboratories
>> West Hartford, CT
David Winsemius, MD
West Hartford, CT
More information about the R-help