Output of arima
Try google'ing for 'variance of an AR(1) process'. With the same seed, if you set n=1000000, you will get something that will compare well with what you discover from your search.
On Tue, Nov 13, 2018 at 2:04 PM Ashim Kapoor <ashimkapoor at gmail.com> wrote:
Dear All,
Here is a reprex:
set.seed(123)
b <- arima.sim(list(order = c(1,0,0),ar= .9),n=1000,sd=1)
arima(b)
Call:
arima(x = b)
Coefficients:
intercept
0.2250
s.e. 0.0688
sigma^2 estimated as 4.735: log likelihood = -2196.4, aic = 4396.81
Should sigma^2 not be equal to 1 ? Where do I misunderstand ?
Many thanks,
Ashim
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.