R help - Apr 2013 - Arma - estimate of variance of white noise variables

Hi all,

Suppose I am fitting an arma(p,q) model to a time series y_t.
So, my model should contain (q+1) white noise variables.
As far as I know, each of them should have the same variance.
How do I get the estimate of this variance by running the arma(y) function
(or is there any other way)?

Appreciate your help.

Thanks,
Preetam

-- 
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year,                                             Room No. N-114
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Kolkata.

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Hello,

Em 29-04-2013 13:49, Preetam Pal escreveu:
> Hi all,
>
> Suppose I am fitting an arma(p,q) model to a time series y_t.
> So, my model should contain (q+1) white noise variables.
Why? How on hearth can you say this?
> As far as I know, each of them should have the same variance.
> How do I get the estimate of this variance by running the arma(y) function
> (or is there any other way)?
I'm not certain that the following is what you're looking for.

library(tseries)
fit <- arma(y, ...etc...)
var(resid(fit))


Hope this helps,

Rui Barradas
>
> Appreciate your help.
>
> Thanks,
> Preetam
>