WARNING: The following might be **complete baloney** (and my apologies if so).
Erin: I hope you get a definitive reply on this from a real expert, but if memory serves, they might be using two different estimation algorithms. ar() is just doing Yule-Walker recursive calculation as described in Box-Jenkins, while arima() is using numerical optimization. You can probably make them closer by changing convergence criteria for arima(), which would be a good test for my "explanation." Cheers, Bert On Thu, Jul 7, 2011 at 7:36 AM, Erin Hodgess <erinm.hodg...@gmail.com> wrote: > 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.hodg...@gmail.com > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- "Men by nature long to get on to the ultimate truths, and will often be impatient with elementary studies or fight shy of them. If it were possible to reach the ultimate truths without the elementary studies usually prefixed to them, these would not be preparatory studies but superfluous diversions." -- Maimonides (1135-1204) Bert Gunter Genentech Nonclinical Biostatistics ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
