R: Confidence Intervals for Fracdiff Model Parameters

confint.fracdiff {fracdiff} | R Documentation

## Confidence Intervals for Fracdiff Model Parameters

### Description

Computes confidence intervals for one or more parameters in a fitted fracdiff model, see `fracdiff`.

### Usage

    ## S3 method for class 'fracdiff'
    confint(object, parm, level = 0.95, ...)

### Arguments

`object` | an object of class `fracdiff`, typically result of `fracdiff(..)`.
`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.

### 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(s)

Spencer Graves posted the initial version to R-help.

### See Also

the generic `confint`; `fracdiff` model fitting.

### 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)

[Package fracdiff version 1.4-2 Index]