[R] ARIMA - h-step ahead errors
nmprista at fc.ul.pt
Sat Oct 18 19:20:21 CEST 2008
I have looked at the predict.Arima and its a fact that it returns the
s.e. for several steps ahead. What I was wondering was if there was a
way to access to the h-step ahead fitted innovations that underlie them.
Prof Brian Ripley wrote:
> 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
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