I have looked at the predict.Arima and its a fact that it returns the
s.e. for several steps ahead. What I was wondering was if there was a
way to access to the h-step ahead fitted innovations that underlie them.
Nuno
Prof Brian Ripley wrote:
On Sat, 18 Oct 2008, Nuno Prista wrote:
Dear colleagues,
“arima” returns directly the 1-step ahead errors but I am interested
in obtaining other h-step ahead errors for several ARIMA models I
have fitted. Is there any way I can obtain this with R? Any help
would be appreciated.
See ?predict.Arima, the predict() method for its output.
Note that arima() returns the fittted innovations: these are not
necessarily the '1-step ahead errors' but estimates of them. (E.g.
think about missing values.)
Sincerely,
Nuno Prista
_________________________
CO - FCUL, Lisboa, Portugal
CQFE - ODU, Norfolk, USA
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