[R] arima() in ts

Bridget btp16 at student.canterbury.ac.nz
Tue Nov 18 03:53:33 CET 2003


I am trying to find a way to obtain the fitted values for a model fit 
using arima() in the ts package.  I came across a suggestion in the 
mailing list archive that these values can be simply calculated as:

model<-arima(t, order = c(1,1,0));
fitted<-t-model$residuals;

But, the help file for arima() in the ts package describes the residuals 
values returned as being "standardized residuals" - I was wondering in 
what way the residuals have been standardized as they do not appear to 
always have a variance close to 1, and whether the standardization 
affects the validity of the above way of calculating the fitted values. 
  If so, is there any easy way to get the fitted values?

Bridget




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