| confint.fracdiff {fracdiff} | R Documentation |
Computes confidence intervals for one or more parameters in a fitted
fracdiff model, see fracdiff.
## S3 method for class 'fracdiff' confint(object, parm, level = 0.95, ...)
object |
an object of class |
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. |
level |
the confidence level required. |
... |
additional argument(s) for methods. |
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%).
Spencer Graves posted the initial version to R-help.
the generic confint; fracdiff model
fitting.
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)