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: [email protected]
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