[R] ARIMA - h-step ahead errors

Nuno Prista 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.)
>> Sincerely,
>> Nuno Prista
>> _________________________
>> CO - FCUL, Lisboa, Portugal
>> CQFE - ODU, Norfolk, USA

More information about the R-help mailing list