fracdiff (version 1.4-2)

confint.fracdiff: 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 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%).

See Also

the generic confint; fracdiff model fitting.

Examples

# NOT RUN {
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)
# }

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