malaka wrote > Hi, > I want to assign the ar1 , ma 1 and the intercept estimated by the > following code to three variables a, b and c respectively. > > Can anyone help me with this please? > > code: > > a0 = 0.05; a1 = 0.1; b1 = 0.85 > nu = rnorm(2500) > epsi = rep(0, 2500) > h = rep(0, 2500) > for (i in 2: 2500) { h[i] = a0 + a1 * epsi[i-1]^2 + b1 * h[i-1] ; epsi[i] > = nu[i] * sqrt(h[i])} > epsi = epsi[1501:2500] > epsi=epsi*epsi > arma(epsi,order=c(1,1))
You haven't specified a library for the arma function. Your code doesn't work for me in the form you posted it. However, changing ... arma(epsi, order=c(1,1)) to mod = arima(epsi, order=c(1,0,1)) You can extract the parameters of interest using a= mod$coef["ar1"] b= mod$coef["ma1"] c= mod$coef["intercept"] HTH Pete -- View this message in context: http://r.789695.n4.nabble.com/assign-estimated-values-tp4658139p4658141.html Sent from the R help mailing list archive at Nabble.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.