# Function to compute the standard errors assuming a # Gaussian noise process ## NOT WORKING YET armavar<-function(n,kar,kma,sigma2){ p<-length(kar) q<-length(kma) k<-p+q Gammapq<-matrix(0,k,k) sigma<-sqrt(sigma2) # Include different noise variance in AR, MA model specification x<-arima.sim(model=list(ar=kar),10000,rnorm(n=10000,sd=sigma)) y<-arima.sim(model=list(ma=kma),10000,rnorm(n=10000,sd=sigma)) aracf<-acf(x,plot=F,lag=p,type="covariance") maacf<-acf(y,plot=F,lag=q,type="covariance") armaacf<-acf(cbind(x,y),plot=F,lag=max(q,p),type="covariance") # Fill in AR part for (i in 1:p){ for (j in 1:p) Gammapq[i,j]<-aracf$acf[abs(i-j)] } # Fill in MA part for (i in (p+1):k){ for (j in (p+1):k) Gammapq[i,j]<-maacf$acf[abs(i-j)] } # Fill in ARMA part for (i in 1:p){ for (j in (p+1):k) Gammapq[i,j]<-armaacf$acf[abs(i-j),1,1] } Gammapq[(p+1):k,1:p]<-t(Gammapq[1:p,(p+1):k]) Betavar<-sigma2*solve(Gammapq)/n return(Betavar) }