James,
arima.mle() will calculate the variance-covariance matrix for the
autoregressive and moving average coefficients (citing the help-page).
Regards,
Henrik
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Henrik Aalborg Nielsen
Informatics and Mathematical Modelling
Section for Statistics, Time Series Group
Technical University of Denmark
Richard Petersens Plads, Build.321,
DK-2800 Kgs. Lyngby, Denmark.
Phone: +45 4525 3418
Fax.: +45 4588 2673
E-mail: han@imm.dtu.dk
URL: http://www.imm.dtu.dk/~han
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On Tue, 20 Sep 2005, James Dartnall wrote:
> Dear all,
> Does anyone know of a function in S-Plus or S+Finmetrics which calculates
> asymptotic standard errors on parameters in ARIMA models or hyperparameters
> in state space models? I am using S-Plus 6.1 and S+Finmetrics for windows.
> James Dartnall
>
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