[R] Arma - estimate of variance of white noise variables
ruipbarradas at sapo.pt
Mon Apr 29 23:33:03 CEST 2013
Em 29-04-2013 13:49, Preetam Pal escreveu:
> Hi all,
> Suppose I am fitting an arma(p,q) model to a time series y_t.
> So, my model should contain (q+1) white noise variables.
Why? How on hearth can you say this?
> As far as I know, each of them should have the same variance.
> How do I get the estimate of this variance by running the arma(y) function
> (or is there any other way)?
I'm not certain that the following is what you're looking for.
fit <- arma(y, ...etc...)
Hope this helps,
> Appreciate your help.
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