Google Groups no longer supports new Usenet posts or subscriptions. Historical content remains viewable.
Dismiss
Standard error of the ARIMA constant
0 views
Skip to first unread message
Samik R.
Dec 24, 2009, 4:33:24 PM12/24/09
to
I am trying to manually calculate the standard error of the constant in
an ARIMA model, if it is included. I have referred to Box and Jenkins
(1994) text, specially Section 7.2, but my understanding is that the
methods mentioned here calculates the variance-covariance matrix for the
ARIMA parameters only, not the constant. Tried searching on the
Internet, but couldn't find any theory. Software like Minitab, R etc.
calculate this, so I was wondering what is the way? I know R source code
is available, but it is borderline incomprehensible (without any
comments etc. - and would take a long time to understand the theory).
Can someone provide any pointer(s) on this topic?
Thanks.
an ARIMA model, if it is included. I have referred to Box and Jenkins
(1994) text, specially Section 7.2, but my understanding is that the
methods mentioned here calculates the variance-covariance matrix for the
ARIMA parameters only, not the constant. Tried searching on the
Internet, but couldn't find any theory. Software like Minitab, R etc.
calculate this, so I was wondering what is the way? I know R source code
is available, but it is borderline incomprehensible (without any
comments etc. - and would take a long time to understand the theory).
Can someone provide any pointer(s) on this topic?
Thanks.
(Cross posted to sci.stat.math & sci.stat.consult)
0 new messages