arimaCoefTable#

Purpose#

Return the coefficient table from a fitted ARIMA model as a dataframe.

Format#

tab = arimaCoefTable(result)#

Parameters:: result (struct) – an instance of an arimaResult structure returned by arimaFit().
Returns:: tab (dataframe) – Kx6 dataframe with columns: Coef, SE, t-stat, p-value, CI_lo, CI_hi. Row names are the coefficient labels.

Examples#

new;
library timeseries;

y = loadd(getGAUSSHome("pkgs/timeseries/examples/airline.dat"), "passengers");

result = arimaFit(y, order=1|1|1, season=12, quiet=1);

// Get coefficient table as dataframe
tab = arimaCoefTable(result);
print tab;

              Coef        SE    t-stat   p-value     CI_lo     CI_hi
AR(1)       0.8731    0.0543   16.076     0.000     0.767     0.979
MA(1)      -0.4018    0.1237   -3.248     0.001    -0.644    -0.159
SMA(1)     -0.5569    0.0730   -7.630     0.000    -0.700    -0.414

Remarks#

The returned dataframe can be used for programmatic access to coefficients:

// Extract p-values column
pvals = tab[., "p-value"];

// Find significant coefficients (p < 0.05)
sig = selif(tab, tab[., "p-value"] .< 0.05);

Library#

timeseries

Source#

arima.src