Ana Luisa Sousa Lourenço Quitério (DGR)
2010-Sep-30 11:23 UTC
[R] ARIMA models - estimation prediction$se
Dear All Can anyone help me? fit <- arima(USAccDeaths, order = c(0,1,1),seasonal = list(order=c(0,1,1)))) fit$sigma2 [1] 99346.89 So, the standard error for my first step prediction is sqrt(fit$sigma2)=315.1934 like predict(fit, n.ahead = 6)$se[1]> predict(fit, n.ahead = 6)$pred Jan Feb Mar Apr May Jun 1979 8336.061 7531.829 8314.644 8616.869 9488.912 9859.757 $se Jan Feb Mar Apr May Jun 1979 315.4481 363.0056 405.0168 443.0622 478.0896 510.7203 And now, How can I calculate the standard errors for the 5 steps ahead? Thanks in advance. Ana