Calculate P values from Auto Arima model summary

Question

I have generated an Auto Arima model.

The model specification of the output is as shown below :-

ts_regr_auto_new_objects[[1]]$model
$phi
[1]  0.7543751 -0.6873447  0.5583951

$theta
[1] 0.06711257 0.66005781 0.18953643

$Delta
numeric(0)

$Z
[1] 1 0 0 0

$a
[1] -2755.5419  -301.0682 -1891.6939  -266.0682

$P
     [,1]          [,2]          [,3]          [,4]
[1,]    0  0.000000e+00  0.000000e+00  0.000000e+00
[2,]    0 -6.938894e-18 -2.775558e-17 -8.673617e-18
[3,]    0 -2.775558e-17  1.110223e-16  2.775558e-17
[4,]    0 -8.673617e-18  2.775558e-17  6.938894e-18

$T
           [,1] [,2] [,3] [,4]
[1,]  0.7543751    1    0    0
[2,] -0.6873447    0    1    0
[3,]  0.5583951    0    0    1
[4,]  0.0000000    0    0    0

$V
           [,1]        [,2]       [,3]       [,4]
[1,] 1.00000000 0.067112571 0.66005781 0.18953643
[2,] 0.06711257 0.004504097 0.04429818 0.01272028
[3,] 0.66005781 0.044298176 0.43567631 0.12510500
[4,] 0.18953643 0.012720277 0.12510500 0.03592406

$h
[1] 0

$Pn
           [,1]        [,2]       [,3]       [,4]
[1,] 1.00000000 0.067112571 0.66005781 0.18953643
[2,] 0.06711257 0.004504097 0.04429818 0.01272028
[3,] 0.66005781 0.044298176 0.43567631 0.12510500
[4,] 0.18953643 0.012720277 0.12510500 0.03592406

The model summary is as shown below :-

summary(ts_regr_auto_new_objects[[1]])
Series: histmodellingdataxtsobjects[[i]]$usage 
Regression with ARIMA(3,0,3) errors 

Coefficients:
         ar1      ar2     ar3     ma1     ma2     ma3   intercept       temp  new_wday_ind     S1.365      C1.365      S1.7       C1.7
      0.7544  -0.6873  0.5584  0.0671  0.6601  0.1895  20148.1783  -255.7988     1002.2502  4591.0172  -1603.2133  242.1379  -378.4656
s.e.  0.1216   0.1551  0.0991  0.1285  0.1186  0.0742    530.3229    24.0099      190.2674   437.2782    393.9352  104.1117   129.0343

sigma^2 estimated as 1263859:  log likelihood=-3244.91
AIC=6517.82   AICc=6518.96   BIC=6573.17

Training set error measures:
                    ME     RMSE      MAE        MPE     MAPE      MASE        ACF1
Training set -0.311974 1105.072 803.1194 -0.3683012 5.199148 0.7109852 -0.00255312

Can anyone show me how do I calculate the 'p value' and 't' statistic values for the various parameter estimates from the given standard errors?

Best regards

Deepak

Can you provide the reproducible sample? https://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example — Mohanasundaram, Apr 23 '20 at 13:07
Here is a link to a discussion that might help you: https://stats.stackexchange.com/questions/8868/how-to-calculate-the-p-value-of-parameters-for-arima-model-in-r — Sally_ar, Apr 23 '20 at 13:24

Calculate P values from Auto Arima model summary

0 Answers0