residuals(test.arima)
However, you should be aware that the size of $\sigma^2$ depends on the scale of the data. Divide your data by 1000, and your $\sigma^2$ value will be 170.690303.
Frage
I have trained a ARIMA(1,0,2)(0,1,1)[7] just like that:(use R's function Arima{forecast} )
>test.arima=Arima(x=tsx.rd_lm, order=c(1,0,2), seasonal=list(order=c(0,1,1),period=7),fixed=c(NA,0,NA,NA), lambda=0.9533674)
>test.arima
Box Cox transformation: lambda= 0.9533674
Coefficients:
ar1 ma1 ma2 sma1
0.6089 0 0.2314 -0.8650
s.e. 0.0426 0 0.0513 0.0383
sigma^2 estimated as 170690303: log likelihood=-4908.65
AIC=9825.3 AICc=9825.43 BIC=9845.84
How ever, the sigma value {170690303} is terriable, so I hope get each points white noise (variance) to check. After all, maybe some xreg parameter could be find more effectivly.
@ADD: a brief of the data:Named num [1:241] 732499 724785 717221 709805 702539 ...
@ADD: how ever, test.arima
doest't offer the names like a lm
class in R.
So, just like get the lm model's residuals at each point by residuals lm.my$residuals
, How to get the arima class's white noise's at each points in R?
Thanks!
Lösung
residuals(test.arima)
However, you should be aware that the size of $\sigma^2$ depends on the scale of the data. Divide your data by 1000, and your $\sigma^2$ value will be 170.690303.