[R] Standar errors arma models

Prof Brian Ripley ripley at stats.ox.ac.uk
Thu Dec 7 08:26:43 CET 2006


On Wed, 6 Dec 2006, Paulino Perez Rodriguez wrote:

>
> Why the standadard errors of the coefficientes of the arma
> models fited by using the arima procedure in the stats
> package doesnt coincide with that of S+, minitab or SAS?

Possibly because R is using superior methodology (full ML fitting).
Note that the help page says:

      The results are likely to be different from S-PLUS's 'arima.mle',
      which computes a conditional likelihood and does not include a
      mean in the model.  Further, the convention used by 'arima.mle'
      reverses the signs of the MA coefficients.

-- 
Brian D. Ripley,                  ripley at 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 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595




More information about the R-help mailing list