| se {sarima} | R Documentation |
Compute standard errors
Description
Compute standard errors.
Usage
se(object, ...)
## S4 method for signature 'SampleAutocorrelations'
vcov(object, assuming = "iid", maxlag = maxLag(object), ...)
Arguments
object |
an object containing estimates, such as a fitted model. |
... |
further arguments for |
assuming |
under what assumptions to do the computations?
Currently can be |
maxlag |
maximal lag to include |
Details
se is a convenience function for the typical case where only the
square root of the diagonal of the variance-covariance matrix is
needed.
The method for vcov gives the variance-covariance matrix of the
first maxlag autocorrelation coefficients in the object. The
result depends on the underlying assumptions and the method of
calculation. These can be specifyed with the additional arguments.
Argument "assuming" can be though also as specifying a null
hypothesis. Setting it to "iid" or "garch" corresponds
to strong white noise (iid) and weak white noise, respectively.
Setting "assuming" to an ARMA model (theoretical or fitted)
specifies that as the null model.
Note: The method for vcov is not finalised yet. It is
used by a method for confint. Bug
reports and requests on the github repo may bring this closer to the
top of my task list.
Value
for se, a numeric vector giving standard errors;
for the vcov method, a square matrix
See Also
link{confint},
vcov