arima.conf: Confidence Functions for the Coefficients of an ARIMA Model
In ddarmon/clp: R Package for Computing Confidence Functions to Accompany CLP

Description Usage Arguments Value References Examples

Approximate confidence functions for the coefficients of an ARIMA model under Gaussian noise assumptions.

1	arima.conf(mod)

mod

an output from stats::arima or astsa::sarima

A list of lists containing the confidence functions pconf, dconf, cconf, and qconf for each coefficient of the ARIMA model, as well as the P-curve and S-curve.

Tore Schweder and Nils Lid Hjort. Confidence, likelihood, probability. Vol. 41. Cambridge University Press, 2016. Peter J. Brockwell and Richard A. Davis. Introduction to Time Series and Forecasting. Springer, New York, 1996. Sections 3.3 and 8.3.

# Prediction of luteinizing hormone time series.

data(lh)

mod <- arima(lh, order = c(3,0,0))

beta.conf <- arima.conf(mod)

display.cconf(beta.conf$ar1)