Dear All
Can anyone help me?
fit <- arima(USAccDeaths, order = c(0,1,1),seasonal = list(order=c(0,1,1))))
fit$sigma2
[1] 99346.89
So, the standard error for my first step prediction is
sqrt(fit$sigma2)=315.1934 like predict(fit, n.ahead = 6)$se[1]
> predict(fit, n.ahead = 6)
$pred
Jan Feb Mar Apr May Jun
1979 8336.061 7531.829 8314.644 8616.869 9488.912 9859.757
$se
Jan Feb Mar Apr May Jun
1979 315.4481 363.0056 405.0168 443.0622 478.0896 510.7203
And now, How can I calculate the standard errors for the 5 steps ahead?
Thanks in advance.
Ana
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