Try supplying the order argument to arima. It looks like the default is to estimate only the mean.
> arima(b, order=c(1,0,0)) Call: arima(x = b, order = c(1, 0, 0)) Coefficients: ar1 intercept 0.8871 0.2369 s.e. 0.0145 0.2783 sigma^2 estimated as 1.002: log likelihood = -1420.82, aic = 2847.63 Bill Dunlap TIBCO Software wdunlap tibco.com On Tue, Nov 13, 2018 at 4:02 AM, Ashim Kapoor <ashimkap...@gmail.com> wrote: > Dear All, > > Here is a reprex: > > set.seed(123) > b <- arima.sim(list(order = c(1,0,0),ar= .9),n=1000,sd=1) > arima(b) > > Call: > arima(x = b) > > Coefficients: > intercept > 0.2250 > s.e. 0.0688 > > sigma^2 estimated as 4.735: log likelihood = -2196.4, aic = 4396.81 > > > > Should sigma^2 not be equal to 1 ? Where do I misunderstand ? > > Many thanks, > Ashim > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/ > posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.