cor.arma {caschrono}R Documentation

Correlation matrix of the parameters for an Arima model

Description

Computes the correlation matrix for the estimated parameters of an Arima model.

Usage

cor.arma(mod)

Arguments

mod

an Arima object

Value

A p x p matrix (p, the number of parameters of the ARIMA model)

Author(s)

Yves Aragon

Examples

set.seed(4123)
n2 <- 210
yc <- arima.sim(n = 200, list(ar = -0.8, ma= c(-0.3, 0.6)),
 sd = sqrt(1.5))                               
yc <- yc - 10
if(require("forecast")){
fit <- Arima(yc, order = c(1, 0, 2))
cor.arma(fit)
}

[Package caschrono version 2.2 Index]