StructTS standard errors

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StructTS standard errors

Giovanni Petris

Hello,

Does anybody know if (and how) it is possible to obtain standard errors of estimated variances from StructTS? (R 2.10.0).

Thank you in advance,
Giovanni

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Re: StructTS standard errors

Giovanni Petris

Sorry for asking again, but I did not receive any answers - I know it's a busy time... ;-)

Shell I conclude that it is not possible to obtain standard errors from StructTS()
or its output?

Thanks,
Giovanni Petris

----- Original Message -----
From: Giovanni Petris <[hidden email]>
Date: Thursday, December 17, 2009 10:13 am
Subject: [R] StructTS standard errors

>
> Hello,
>
> Does anybody know if (and how) it is possible to obtain standard
> errors of estimated variances from StructTS? (R 2.10.0).
>
> Thank you in advance,
> Giovanni
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-
> guide.htmland provide commented, minimal, self-contained,
> reproducible code.
>

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Re: StructTS standard errors

David Winsemius
Alternate hypotheses:

HA1: There is no one in the readership who is familiar with the  
function (unlikely), or among those lacking knowledge of what package  
it might reside in (such as myself)  chose not to look up what you  
might have provided on the first posting: a self-contained example to  
work with.

HA2: Your question also suggests a certain statistical confusion. Do  
your really want standard errors of estimated variances? That would be  
somewhat unusual. Or do you want to take the square-roots of the  
variances to get standard errors of the estimated coefficients?


On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote:

>
> Sorry for asking again, but I did not receive any answers - I know  
> it's a busy time... ;-)
>
> Shell I conclude that it is not possible to obtain standard errors  
> from StructTS()
> or its output?
>
> Thanks,
> Giovanni Petris
>
> ----- Original Message -----
> From: Giovanni Petris <[hidden email]>
> Date: Thursday, December 17, 2009 10:13 am
> Subject: [R] StructTS standard errors
>
>>
>> Hello,
>>
>> Does anybody know if (and how) it is possible to obtain standard
>> errors of estimated variances from StructTS? (R 2.10.0).
>>
>> Thank you in advance,
>> Giovanni
--
David Winsemius, MD
Heritage Laboratories
West Hartford, CT

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Re: StructTS standard errors

Giovanni Petris

David,

Thank you for the insight.

HA1) StructTS() ships with R in package stats.

HA2) I don't see anything strange or unusual in looking for standard errors
         of estimated parameters. In structural time series the only unknown
         parameters, estimated by StructTS(), happen to be variances.
         (Incidentally, I know how to take square roots in R)

Best,
Giovanni

----- Original Message -----
From: David Winsemius <[hidden email]>
Date: Monday, December 21, 2009 3:50 pm
Subject: Re: [R] StructTS standard errors

> Alternate hypotheses:
>
> HA1: There is no one in the readership who is familiar with the  
> function (unlikely), or among those lacking knowledge of what
> package  
> it might reside in (such as myself)  chose not to look up what you  
> might have provided on the first posting: a self-contained example
> to  
> work with.
>
> HA2: Your question also suggests a certain statistical confusion.
> Do  
> your really want standard errors of estimated variances? That would
> be  
> somewhat unusual. Or do you want to take the square-roots of the  
> variances to get standard errors of the estimated coefficients?
>
>
> On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote:
>
> >
> > Sorry for asking again, but I did not receive any answers - I
> know  
> > it's a busy time... ;-)
> >
> > Shell I conclude that it is not possible to obtain standard
> errors  
> > from StructTS()
> > or its output?
> >
> > Thanks,
> > Giovanni Petris
> >
> > ----- Original Message -----
> > From: Giovanni Petris <[hidden email]>
> > Date: Thursday, December 17, 2009 10:13 am
> > Subject: [R] StructTS standard errors
> >
> >>
> >> Hello,
> >>
> >> Does anybody know if (and how) it is possible to obtain standard
> >> errors of estimated variances from StructTS? (R 2.10.0).
> >>
> >> Thank you in advance,
> >> Giovanni
> --
> David Winsemius, MD
> Heritage Laboratories
> West Hartford, CT
>
>

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Re: StructTS standard errors

David Winsemius

On Dec 22, 2009, at 11:55 AM, Giovanni Petris wrote:

>
> David,
>
> Thank you for the insight.

Right.
>
> HA1) StructTS() ships with R in package stats.
>
> HA2) I don't see anything strange or unusual in looking for standard  
> errors
>         of estimated parameters. In structural time series the only  
> unknown
>         parameters, estimated by StructTS(), happen to be variances.
>         (Incidentally, I know how to take square roots in R)

Yes. I figured most of this out after doing a bit of searching. Both  
of my off-target points amply illustrate my lack of experience with  
this particular time-series function.

So let me ask a question: Would the domain of stochastic processes be  
relevant here? I am wondering if the theoretical results in Ito  
calculus might let you assign a more reasonable estimate for future  
behavior. My memory is that random processes with measured (past)  
variances under conditions of "temporal homogeneity" (there's probably  
a more mathematically correct terminology)  should have a predictable  
relationship to the underlying variance parameter.

--
David Winsemius

>
> Best,
> Giovanni
>
> ----- Original Message -----
> From: David Winsemius <[hidden email]>
> Date: Monday, December 21, 2009 3:50 pm
> Subject: Re: [R] StructTS standard errors
>
>> Alternate hypotheses:
>>
>> HA1: There is no one in the readership who is familiar with the
>> function (unlikely), or among those lacking knowledge of what
>> package
>> it might reside in (such as myself)  chose not to look up what you
>> might have provided on the first posting: a self-contained example
>> to
>> work with.
>>
>> HA2: Your question also suggests a certain statistical confusion.
>> Do
>> your really want standard errors of estimated variances? That would
>> be
>> somewhat unusual. Or do you want to take the square-roots of the
>> variances to get standard errors of the estimated coefficients?
>>
>>
>> On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote:
>>
>>>
>>> Sorry for asking again, but I did not receive any answers - I
>> know
>>> it's a busy time... ;-)
>>>
>>> Shell I conclude that it is not possible to obtain standard
>> errors
>>> from StructTS()
>>> or its output?
>>>
>>> Thanks,
>>> Giovanni Petris
>>>
>>> ----- Original Message -----
>>> From: Giovanni Petris <[hidden email]>
>>> Date: Thursday, December 17, 2009 10:13 am
>>> Subject: [R] StructTS standard errors
>>>
>>>>
>>>> Hello,
>>>>
>>>> Does anybody know if (and how) it is possible to obtain standard
>>>> errors of estimated variances from StructTS? (R 2.10.0).
>>>>
>>>> Thank you in advance,
>>>> Giovanni
>> --
>> David Winsemius, MD
>> Heritage Laboratories
>> West Hartford, CT
>>
>>

David Winsemius, MD
Heritage Laboratories
West Hartford, CT

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Re: StructTS standard errors

Felix Andrews
Hi David,

You might not be aware that Giovanni Petris is the author of the dlm
package, a world-class package for modelling stochastic / time-varying
systems.

Not that I know much about this stuff.

Cheers
-Felix


2009/12/23 David Winsemius <[hidden email]>:

> On Dec 22, 2009, at 11:55 AM, Giovanni Petris wrote:
>
>>
>> David,
>>
>> Thank you for the insight.
>
> Right.
>>
>> HA1) StructTS() ships with R in package stats.
>>
>> HA2) I don't see anything strange or unusual in looking for standard
>> errors
>>        of estimated parameters. In structural time series the only unknown
>>        parameters, estimated by StructTS(), happen to be variances.
>>        (Incidentally, I know how to take square roots in R)
>
> Yes. I figured most of this out after doing a bit of searching. Both of my
> off-target points amply illustrate my lack of experience with this
> particular time-series function.
>
> So let me ask a question: Would the domain of stochastic processes be
> relevant here? I am wondering if the theoretical results in Ito calculus
> might let you assign a more reasonable estimate for future behavior. My
> memory is that random processes with measured (past) variances under
> conditions of "temporal homogeneity" (there's probably a more mathematically
> correct terminology)  should have a predictable relationship to the
> underlying variance parameter.
>
> --
> David Winsemius
>
>>
>> Best,
>> Giovanni
>>
>> ----- Original Message -----
>> From: David Winsemius <[hidden email]>
>> Date: Monday, December 21, 2009 3:50 pm
>> Subject: Re: [R] StructTS standard errors
>>
>>> Alternate hypotheses:
>>>
>>> HA1: There is no one in the readership who is familiar with the
>>> function (unlikely), or among those lacking knowledge of what
>>> package
>>> it might reside in (such as myself)  chose not to look up what you
>>> might have provided on the first posting: a self-contained example
>>> to
>>> work with.
>>>
>>> HA2: Your question also suggests a certain statistical confusion.
>>> Do
>>> your really want standard errors of estimated variances? That would
>>> be
>>> somewhat unusual. Or do you want to take the square-roots of the
>>> variances to get standard errors of the estimated coefficients?
>>>
>>>
>>> On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote:
>>>
>>>>
>>>> Sorry for asking again, but I did not receive any answers - I
>>>
>>> know
>>>>
>>>> it's a busy time... ;-)
>>>>
>>>> Shell I conclude that it is not possible to obtain standard
>>>
>>> errors
>>>>
>>>> from StructTS()
>>>> or its output?
>>>>
>>>> Thanks,
>>>> Giovanni Petris
>>>>
>>>> ----- Original Message -----
>>>> From: Giovanni Petris <[hidden email]>
>>>> Date: Thursday, December 17, 2009 10:13 am
>>>> Subject: [R] StructTS standard errors
>>>>
>>>>>
>>>>> Hello,
>>>>>
>>>>> Does anybody know if (and how) it is possible to obtain standard
>>>>> errors of estimated variances from StructTS? (R 2.10.0).
>>>>>
>>>>> Thank you in advance,
>>>>> Giovanni
>>>
>>> --
>>> David Winsemius, MD
>>> Heritage Laboratories
>>> West Hartford, CT
>>>
>>>
>
> David Winsemius, MD
> Heritage Laboratories
> West Hartford, CT
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



--
Felix Andrews / 安福立
Postdoctoral Fellow
Integrated Catchment Assessment and Management (iCAM) Centre
Fenner School of Environment and Society [Bldg 48a]
The Australian National University
Canberra ACT 0200 Australia
M: +61 410 400 963
T: + 61 2 6125 4670
E: [hidden email]
CRICOS Provider No. 00120C
--
http://www.neurofractal.org/felix/

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MY
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Re: StructTS standard errors

MY
I just did a search on StructTS on the same topic and ended up here.  Did this issue ever get resolved here or elsewhere?


Regards,
Myron