[R] Output of arima

[William Dunlap]

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 <ashimkapoor using 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
>
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>
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