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
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