[R] StructTS standard errors

[Giovanni Petris]

David,

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 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)

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
> 
>