[R] Help: Standard errors arima

lucia lucia at thedietdiary.com
Mon Nov 22 22:29:11 CET 2010


Hello,
I'm an R newbie. I've tried to search, but my search skills don't seem  
up to finding what I need. (Maybe I don't know the correct terms?)

I need the standard errors and not the confidence intervals from an  
ARIMA fit.

I can get fits:

 > coef(test)
                    ar1                     ma1                
intercept time(TempVector) - 1900
            0.801459585             0.704126549             
12.854527065             0.000520366

And confidence intervals:

 > confint(test)
                                2.5 %       97.5 %
ar1                      7.684230e-01  0.834496136
ma1                      6.742786e-01  0.733974460
intercept                1.217042e+01 13.538635652
time(TempVector) - 1900 -9.610183e-06  0.001050342
 >

http://stat.ethz.ch/R-manual/R-devel/library/stats/html/arima.html
Are any of these standard errors?

 > vcov(test)
                                  ar1           ma1    intercept  
time(TempVector) - 1900
ar1                      2.841144e-04 -5.343792e-05  
1.028710e-05            2.725763e-08
ma1                     -5.343792e-05  2.319165e-04  
9.990842e-07           -3.103661e-09
intercept                1.028710e-05  9.990842e-07  
1.218299e-01            8.969206e-05
time(TempVector) - 1900  2.725763e-08 -3.103661e-09  
8.969206e-05            7.311670e-08

Or is there a function that can give me standard errors for the  
coefficients on AR1, ma, and time?  (I don't care about the intercept.)
Thanks,
Lucia



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