cor.arma: Correlation matrix of the parameters for an Arima model

In caschrono: Series Temporelles Avec R

Correlation matrix of the parameters for an Arima model

Description

Computes the correlation matrix for the estimated parameters of an Arima model.

Usage

cor.arma(mod)

Arguments

mod	an Arima object

Value

A p x p matrix (p, the number of parameters of the ARIMA model)

Author(s)

Yves Aragon

Examples

set.seed(4123)
n2 <- 210
yc <- arima.sim(n = 200, list(ar = -0.8, ma= c(-0.3, 0.6)),
 sd = sqrt(1.5))                               
yc <- yc - 10
if(require("forecast")){
fit <- Arima(yc, order = c(1, 0, 2))
cor.arma(fit)
}

caschrono documentation built on Nov. 2, 2023, 5:16 p.m.