[R] ARIMA - h-step ahead errors
Prof Brian Ripley
ripley at stats.ox.ac.uk
Sat Oct 18 19:13:02 CEST 2008
On Sat, 18 Oct 2008, Nuno Prista wrote:
> Dear colleagues,
> “arima” returns directly the 1-step ahead errors but I am interested in
> obtaining other h-step ahead errors for several ARIMA models I have fitted.
> Is there any way I can obtain this with R? Any help would be appreciated.
See ?predict.Arima, the predict() method for its output.
Note that arima() returns the fittted innovations: these are not
necessarily the '1-step ahead errors' but estimates of them. (E.g. think
about missing values.)
> Nuno Prista
> CO - FCUL, Lisboa, Portugal
> CQFE - ODU, Norfolk, USA
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
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