R help - Oct 2008 - ARIMA - h-step ahead errors

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.


Sincerely,


Nuno Prista

_________________________

CO - FCUL, Lisboa, Portugal

CQFE - ODU, Norfolk, USA

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

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
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