Re: [R] StructTS standard errors
I just did a search on StructTS on the same topic and ended up here. Did this issue ever get resolved here or elsewhere? Regards, Myron -- View this message in context: http://n4.nabble.com/StructTS-standard-errors-tp966079p1460216.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] StructTS standard errors
David, Thank you for the insight. HA1) StructTS() ships with R in package stats. HA2) I don't see anything strange or unusual in looking for standard errors of estimated parameters. In structural time series the only unknown parameters, estimated by StructTS(), happen to be variances. (Incidentally, I know how to take square roots in R) Best, Giovanni - Original Message - From: David Winsemius dwinsem...@comcast.net Date: Monday, December 21, 2009 3:50 pm Subject: Re: [R] StructTS standard errors Alternate hypotheses: HA1: There is no one in the readership who is familiar with the function (unlikely), or among those lacking knowledge of what package it might reside in (such as myself) chose not to look up what you might have provided on the first posting: a self-contained example to work with. HA2: Your question also suggests a certain statistical confusion. Do your really want standard errors of estimated variances? That would be somewhat unusual. Or do you want to take the square-roots of the variances to get standard errors of the estimated coefficients? On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote: Sorry for asking again, but I did not receive any answers - I know it's a busy time... ;-) Shell I conclude that it is not possible to obtain standard errors from StructTS() or its output? Thanks, Giovanni Petris - Original Message - From: Giovanni Petris gpet...@uark.edu Date: Thursday, December 17, 2009 10:13 am Subject: [R] StructTS standard errors Hello, Does anybody know if (and how) it is possible to obtain standard errors of estimated variances from StructTS? (R 2.10.0). Thank you in advance, Giovanni -- David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] StructTS standard errors
On Dec 22, 2009, at 11:55 AM, Giovanni Petris wrote: David, Thank you for the insight. Right. HA1) StructTS() ships with R in package stats. HA2) I don't see anything strange or unusual in looking for standard errors of estimated parameters. In structural time series the only unknown parameters, estimated by StructTS(), happen to be variances. (Incidentally, I know how to take square roots in R) Yes. I figured most of this out after doing a bit of searching. Both of my off-target points amply illustrate my lack of experience with this particular time-series function. So let me ask a question: Would the domain of stochastic processes be relevant here? I am wondering if the theoretical results in Ito calculus might let you assign a more reasonable estimate for future behavior. My memory is that random processes with measured (past) variances under conditions of temporal homogeneity (there's probably a more mathematically correct terminology) should have a predictable relationship to the underlying variance parameter. -- David Winsemius Best, Giovanni - Original Message - From: David Winsemius dwinsem...@comcast.net Date: Monday, December 21, 2009 3:50 pm Subject: Re: [R] StructTS standard errors Alternate hypotheses: HA1: There is no one in the readership who is familiar with the function (unlikely), or among those lacking knowledge of what package it might reside in (such as myself) chose not to look up what you might have provided on the first posting: a self-contained example to work with. HA2: Your question also suggests a certain statistical confusion. Do your really want standard errors of estimated variances? That would be somewhat unusual. Or do you want to take the square-roots of the variances to get standard errors of the estimated coefficients? On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote: Sorry for asking again, but I did not receive any answers - I know it's a busy time... ;-) Shell I conclude that it is not possible to obtain standard errors from StructTS() or its output? Thanks, Giovanni Petris - Original Message - From: Giovanni Petris gpet...@uark.edu Date: Thursday, December 17, 2009 10:13 am Subject: [R] StructTS standard errors Hello, Does anybody know if (and how) it is possible to obtain standard errors of estimated variances from StructTS? (R 2.10.0). Thank you in advance, Giovanni -- David Winsemius, MD Heritage Laboratories West Hartford, CT David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] StructTS standard errors
Hi David, You might not be aware that Giovanni Petris is the author of the dlm package, a world-class package for modelling stochastic / time-varying systems. Not that I know much about this stuff. Cheers -Felix 2009/12/23 David Winsemius dwinsem...@comcast.net: On Dec 22, 2009, at 11:55 AM, Giovanni Petris wrote: David, Thank you for the insight. Right. HA1) StructTS() ships with R in package stats. HA2) I don't see anything strange or unusual in looking for standard errors of estimated parameters. In structural time series the only unknown parameters, estimated by StructTS(), happen to be variances. (Incidentally, I know how to take square roots in R) Yes. I figured most of this out after doing a bit of searching. Both of my off-target points amply illustrate my lack of experience with this particular time-series function. So let me ask a question: Would the domain of stochastic processes be relevant here? I am wondering if the theoretical results in Ito calculus might let you assign a more reasonable estimate for future behavior. My memory is that random processes with measured (past) variances under conditions of temporal homogeneity (there's probably a more mathematically correct terminology) should have a predictable relationship to the underlying variance parameter. -- David Winsemius Best, Giovanni - Original Message - From: David Winsemius dwinsem...@comcast.net Date: Monday, December 21, 2009 3:50 pm Subject: Re: [R] StructTS standard errors Alternate hypotheses: HA1: There is no one in the readership who is familiar with the function (unlikely), or among those lacking knowledge of what package it might reside in (such as myself) chose not to look up what you might have provided on the first posting: a self-contained example to work with. HA2: Your question also suggests a certain statistical confusion. Do your really want standard errors of estimated variances? That would be somewhat unusual. Or do you want to take the square-roots of the variances to get standard errors of the estimated coefficients? On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote: Sorry for asking again, but I did not receive any answers - I know it's a busy time... ;-) Shell I conclude that it is not possible to obtain standard errors from StructTS() or its output? Thanks, Giovanni Petris - Original Message - From: Giovanni Petris gpet...@uark.edu Date: Thursday, December 17, 2009 10:13 am Subject: [R] StructTS standard errors Hello, Does anybody know if (and how) it is possible to obtain standard errors of estimated variances from StructTS? (R 2.10.0). Thank you in advance, Giovanni -- David Winsemius, MD Heritage Laboratories West Hartford, CT David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- Felix Andrews / 安福立 Postdoctoral Fellow Integrated Catchment Assessment and Management (iCAM) Centre Fenner School of Environment and Society [Bldg 48a] The Australian National University Canberra ACT 0200 Australia M: +61 410 400 963 T: + 61 2 6125 4670 E: felix.andr...@anu.edu.au CRICOS Provider No. 00120C -- http://www.neurofractal.org/felix/ __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] StructTS standard errors
Sorry for asking again, but I did not receive any answers - I know it's a busy time... ;-) Shell I conclude that it is not possible to obtain standard errors from StructTS() or its output? Thanks, Giovanni Petris - Original Message - From: Giovanni Petris gpet...@uark.edu Date: Thursday, December 17, 2009 10:13 am Subject: [R] StructTS standard errors Hello, Does anybody know if (and how) it is possible to obtain standard errors of estimated variances from StructTS? (R 2.10.0). Thank you in advance, Giovanni __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting- guide.htmland provide commented, minimal, self-contained, reproducible code. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] StructTS standard errors
Alternate hypotheses: HA1: There is no one in the readership who is familiar with the function (unlikely), or among those lacking knowledge of what package it might reside in (such as myself) chose not to look up what you might have provided on the first posting: a self-contained example to work with. HA2: Your question also suggests a certain statistical confusion. Do your really want standard errors of estimated variances? That would be somewhat unusual. Or do you want to take the square-roots of the variances to get standard errors of the estimated coefficients? On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote: Sorry for asking again, but I did not receive any answers - I know it's a busy time... ;-) Shell I conclude that it is not possible to obtain standard errors from StructTS() or its output? Thanks, Giovanni Petris - Original Message - From: Giovanni Petris gpet...@uark.edu Date: Thursday, December 17, 2009 10:13 am Subject: [R] StructTS standard errors Hello, Does anybody know if (and how) it is possible to obtain standard errors of estimated variances from StructTS? (R 2.10.0). Thank you in advance, Giovanni -- David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
