[R] AR vs ARIMA question

[Erin Hodgess]

Dear R People:

Here is some output from AR and ARIMA functions:

> xb <- arima.sim(n=120,model=list(ar=0.85))
> xb.ar <- ar(xb)
> xb.ar

Call:
ar(x = xb)

Coefficients:
     1
0.6642

Order selected 1  sigma^2 estimated as  1.094
> xb.arima <- arima(xb,order=c(1,0,0),include.mean=FALSE)
> xb.arima

Call:
arima(x = xb, order = c(1, 0, 0), include.mean = FALSE)

Coefficients:
         ar1
      0.6909
s.e.  0.0668

sigma^2 estimated as 1.04:  log likelihood = -172.94,  aic = 349.88
>

My question:  shouldn't the ar1 and arima coefficients and sigma^2 be
the same, please?  Or at least closer than they are?



Thanks,
Erin


-- 
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: erinm.hodgess at gmail.com