[R] Output of arima

[Eric Berger]

Try google'ing for 'variance of an AR(1) process'.
With the same seed, if you set n=1000000, you will get something that will
compare well with what you discover from your search.

On Tue, Nov 13, 2018 at 2:04 PM Ashim Kapoor <ashimkapoor using gmail.com> wrote:

> Dear All,
>
> Here is a reprex:
>
> set.seed(123)
> b <- arima.sim(list(order = c(1,0,0),ar= .9),n=1000,sd=1)
> arima(b)
>
> Call:
> arima(x = b)
>
> Coefficients:
>       intercept
>          0.2250
> s.e.     0.0688
>
> sigma^2 estimated as 4.735:  log likelihood = -2196.4,  aic = 4396.81
> >
>
> Should sigma^2 not be equal to 1 ? Where do I misunderstand ?
>
> Many thanks,
> Ashim
>
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>
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