[R] Help: Standard errors arima

[David Winsemius]

On Nov 22, 2010, at 4:29 PM, lucia wrote:

> Hello,
> I'm an R newbie. I've tried to search, but my search skills don't  
> seem up to finding what I need. (Maybe I don't know the correct  
> terms?)
>
> I need the standard errors and not the confidence intervals from an  
> ARIMA fit.
>
> I can get fits:
>
> > coef(test)
>                   ar1                     ma1                
> intercept time(TempVector) - 1900
>           0.801459585             0.704126549             
> 12.854527065             0.000520366
>
> And confidence intervals:
>
> > confint(test)
>                               2.5 %       97.5 %
> ar1                      7.684230e-01  0.834496136
> ma1                      6.742786e-01  0.733974460
> intercept                1.217042e+01 13.538635652
> time(TempVector) - 1900 -9.610183e-06  0.001050342
> >
>
> http://stat.ethz.ch/R-manual/R-devel/library/stats/html/arima.html

That page says that there is a vcov function that can extract the  
variance-covariance matrix, so that should let you make s.e.'s pretty  
easily.

-- 
David.

> Are any of these standard errors?
>
> > vcov(test)
>                                 ar1           ma1    intercept  
> time(TempVector) - 1900
> ar1                      2.841144e-04 -5.343792e-05  
> 1.028710e-05            2.725763e-08
> ma1                     -5.343792e-05  2.319165e-04  
> 9.990842e-07           -3.103661e-09
> intercept                1.028710e-05  9.990842e-07  
> 1.218299e-01            8.969206e-05
> time(TempVector) - 1900  2.725763e-08 -3.103661e-09  
> 8.969206e-05            7.311670e-08
>
> Or is there a function that can give me standard errors for the  
> coefficients on AR1, ma, and time?  (I don't care about the  
> intercept.)
> Thanks,
> Lucia
>
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David Winsemius, MD
West Hartford, CT