[R] test for arima coef's significancy

STOLIAROFF VINCENT VINCENT.STOLIAROFF at sgam.com
Mon Dec 8 18:59:29 CET 2003


Dear sirs, 

I would like to know if there is a function to compute the pvalue for the
significancy of arima coef in an arima object created by 
the arima function.

I have written this one:

pvalueArima<-function(x,arima)
{
t<-(arima$coef)/(diag(arima$var.coef)^0.5)
df<-length(x)-length(arima$coef)
1-pt(t,df)
}

Has somebody already implemented something equivalent ?

thank you for your help and comments

Vincent S.


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