Displaying 2 results from an estimated 2 matches for "setmp".
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setjmp
2009 Jun 22
2
p-values for ARIMA coefficients
Hi,
I'm a beginner using R and I'm modeling a time series with ARIMA.
I'm looking for a way to determine the p-values of the coefficients of my model.
Does ARIMA function return these values? or is there a way to determine them easily?
Thanks for your answer
Myriam
2011 May 10
0
Series temporales
...tion (object)
{
coef <- coef(object)
if (length(coef) > 0) {
mask <- object$mask
sdev <- sqrt(diag(vcov(object)))
t.rat <- rep(NA, length(mask))
t.rat[mask] <- coef[mask]/sdev
pt <- 2 * pnorm(-abs(t.rat))
setmp <- rep(NA, length(mask))
setmp[mask] <- sdev
sum <- rbind(coef, setmp, t.rat, pt)
dimnames(sum) <- list(c("coef", "s.e.", "t ratio", "p-valor"),
names(coef))
return(sum)
} else return(NA)...