[R] s.e. of arima

[Peter Ehlers]

On 2010-07-01 8:55, speretti wrote:
>
> Hi,
>
> I'm using the function arima() from the ts package.
> when  the function gives me the output I can see the s.e. of the
> coefficients.
> However I cannot find a way to collect them in a object
>
> estimate<-arima(x, order=c(1,0,1))
> estimate$se does not work
>
> in fact str(estimate) does not contain $se.
> How is it possible? The function compute and print that value but it is not
> the resulting object?

Assuming that you mean arima() in package *stats*, try this:

  se <- sqrt(diag(vcov(estimate)))

The help page does tell you that component var.coef is
the "estimated variance matrix of the coefficients".

If you're talking about some other arima() function, then
I have no idea.

   -Peter Ehlers

>
> Thank you
>
> Sabrina