1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
|
\name{confint.fracdiff}
\alias{confint.fracdiff}
\title{Confidence Intervals for Fracdiff Model Parameters}
\description{
Computes (Wald) confidence intervals for one or more parameters in a
fitted fracdiff model, see \code{\link{fracdiff}}.
}
\usage{
\method{confint}{fracdiff}(object, parm, level = 0.95, \dots)
}
\section{Warning}{
As these confidence intervals use the standard errors returned by
\code{\link{fracdiff}()} (which are based on finite difference
approximations to the Hessian) they may end up being much too narrow,
see the example in \code{\link{fracdiff.var}}.
}
\arguments{
\item{object}{an object of class \code{fracdiff}, typically result of
\code{\link{fracdiff}(..)}.}
\item{parm}{a specification of which parameters are to be given
confidence intervals, either a vector of numbers or a vector of
names. If missing, all parameters are considered.}
\item{level}{the confidence level required.}
\item{\dots}{additional argument(s) for methods.}
}
\value{
A matrix (or vector) with columns giving lower and upper confidence
limits for each parameter. These will be labelled as (1-level)/2 and
1 - (1-level)/2 in \% (by default 2.5\% and 97.5\%).
}
\author{Spencer Graves posted the initial version to R-help.}
\seealso{the generic \code{\link{confint}}; \code{\link{fracdiff}} model
fitting, notably \code{\link{fracdiff.var}()} for re-estimating the
variance-covariance matrix on which \code{confint()} builds entirely.
}
\examples{
set.seed(101)
ts2 <- fracdiff.sim(5000, ar = .2, ma = -.4, d = .3)
mFD <- fracdiff( ts2$series, nar = length(ts2$ar), nma = length(ts2$ma))
coef(mFD)
confint(mFD)
}
\keyword{models}
|
