Arima

[Erin Hodgess <hodgess@uhddx01.dt.uh.edu>]

Hi Mohamed!

Here is the info for the estimated parms:


> x <- arima.sim(model=list(ar=0.85,ma=-0.4),n=200)
> z <- arima.mle(x,model=list(order=c(1,0,1)))
> z$model
$order:
[1] 1 0 1
$ar:
[1] 0.8107448
$ndiff:
[1] 0
$ma:
[1] -0.4982694
> z$model$ar
[1] 0.8107448
> z$model$ma
[1] -0.4982694


For cross covariance, please check Chapter 7 in Statistics Online Manual
vol 2.

Hope this help!

Sincerely,
Erin M. Hodgess, Ph.D.
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
One Main Street 
Houston, TX 77002
e-mail: hodgess@uhddx01.dt.uh.edu




To: s-news@lists.biostat.wustl.edu
Subject: [S] ARIMA &  cross-correlation
Date: Mon, 30 Jul 2001 09:58:24 


Hi every one,

I have 2 question

1- For fitting an ARIMA model we use the "arima.mle" command and 
"arima.diag" shows the acf and pacf graphs of residuals. What is the command 
for show the values of coefficients of ARIMA model ?

2- Is there any function or command for showing the values and drawing the 
graph of cross-correlation and cross-spectrum?

Thank you in advance,
Mohamed