Hello,
Em 29-04-2013 13:49, Preetam Pal escreveu:
Hi all,
Suppose I am fitting an arma(p,q) model to a time series y_t.
So, my model should contain (q+1) white noise variables.
Why? How on hearth can you say this?
As far as I know, each of them should have the same variance.
How do I get the estimate of this variance by running the arma(y) function
(or is there any other way)?
I'm not certain that the following is what you're looking for.
library(tseries)
fit <- arma(y, ...etc...)
var(resid(fit))
Hope this helps,
Rui Barradas
Appreciate your help.
Thanks,
Preetam
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