[19178] in s-news-athena
Re: [S] arima.diag residuals and arima.filt
daemon@ATHENA.MIT.EDU (Prof Brian D Ripley)
Fri Sep 10 02:36:14 1999
Date: Fri, 10 Sep 1999 07:27:49 +0100 (BST)
From: Prof Brian D Ripley <ripley@stats.ox.ac.uk>
To: John Balding <jbalding@hotmail.com>
Cc: S-news@wubios.wustl.edu
In-Reply-To: <19990909232904.77004.qmail@hotmail.com>
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On Thu, 9 Sep 1999, John Balding wrote:
>
> I have a (probably simple) question about ARIMA modeling in Splus 2000. How
> are the residuals from arima.diag calculated? Adding the residuals to the
> original series gives values that are different from the predictions from
> arima.filt. For example:
[...]
It should.
resid = y - fitted
f1 = (y - fitted) + y = 2y -fitted != fitted.
Try
ship - arima.diag(fit, resid=T, plot=F)$resid
--
Brian D. Ripley, ripley@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272860 (secr)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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