[18672] in s-news-athena
[S] Time Series Arima Models
daemon@ATHENA.MIT.EDU (Mark Lehr)
Tue Jul 20 08:39:36 1999
Message-Id: <199907192229.PAA19549@mail-gw3.pacbell.net>
Date: Mon, 19 Jul 1999 15:30:05 -0700
To: S-news@wubios.wustl.edu
From: Mark Lehr <mlehr@pacbell.net>
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Help
For those of you who use the Splus Function
ARIMA.MLE
there are many outputs from this routine but
one seems to be lacking. The time series model
returned provides the AR and MA coefficient estimates
with their covariance matrix.
Also returned is the innovation variance but is
there a variance of this term calculated. In other
words the variance of the variance. It is an
estimated parameter just like the AR and MA
coefficients and I would expect this as well. Maybe
I am not looking in the wrong place but it is not
obvious.
Mark Lehr
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