On Wed, 6 Dec 2006, Paulino Perez Rodriguez wrote:
>
> Why the standadard errors of the coefficientes of the arma
> models fited by using the arima procedure in the stats
> package doesnt coincide with that of S+, minitab or SAS?
Possibly because R is using superior methodology (full ML fitting).
Note that the help page says:
The results are likely to be different from S-PLUS's 'arima.mle',
which computes a conditional likelihood and does not include a
mean in the model. Further, the convention used by 'arima.mle'
reverses the signs of the MA coefficients.
--
Brian D. Ripley, [EMAIL PROTECTED]
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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