Dear sirs,
I would like to know if there is a function to compute the pvalue for the
significancy of arima coef in an arima object created by
the arima function.
I have written this one:
pvalueArima<-function(x,arima)
{
t<-(arima$coef)/(diag(arima$var.coef)^0.5)
df<-length(x)-length(arima$coef)
1-pt(t,df)
}
Has somebody already implemented something equivalent ?
thank you for your help and comments
Vincent S.
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On Mon, 8 Dec 2003, STOLIAROFF VINCENT wrote:> Dear sirs, > > I would like to know if there is a function to compute the pvalue for the > significancy of arima coef in an arima object created by > the arima function. > > I have written this one: > > pvalueArima<-function(x,arima) > { > t<-(arima$coef)/(diag(arima$var.coef)^0.5) > df<-length(x)-length(arima$coef) > 1-pt(t,df) > } > > Has somebody already implemented something equivalent ?Can you explain how you managed to derive a t distribution for this statistic, yet none of the references mentioned in the various help pages contain such a result? Could you also explain why a one-sided p-value is appropriate, and how the bounded space containing the coefficients is not relevant, nor are missing values in the series? It's hard for the R-developers to write a function to compute something we do not know how to find theoretically, so please share your exceptional insights with us. -- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595
>Can you explain how you managed to derive a t distribution for this >statistic, yet none of the references mentioned in the various help pages >contain such a result?OK, let's say it was a naive and not well thought attempt. I tried it because I used to work with SAS and with the proc ARIMA, I think I was able to get a pvalue for significancy test for each coefficient. I have seen in one of your previous mail on the help mailing list that I could use the wald test or a likelyhood ratio test for the global significancy of the coef but nothing about each coef significancy>Could you also explain why a one-sided p-value is appropriate, and how the >bounded space containing the coefficients is not relevant, nor are >missing values in the series?Do you mean it is sufficient to check if zero belongs to the confidence interval centered on the coef value?>It's hard for the R-developers to write a function to compute something we >do not know how to find theoretically, so please share your exceptional >insights with us.I'll do my best for the next contribution. ************************************************************************* Ce message et toutes les pieces jointes (ci-apres le "message") sont confidentiels et etablis a l'intention exclusive de ses destinataires. Toute utilisation ou diffusion non autorisee est interdite. Tout message electronique est susceptible d'alteration. SG Asset Management et ses filiales declinent toute responsabilite au titre de ce message s'il a ete altere, deforme ou falsifie. Decouvrez l'offre et les services de SG Asset Management sur le site www.sgam.fr ******** This message and any attachments (the "message") are confide...{{dropped}}