arima function returns conditional variance or unconditional variance?

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Seraphic
Seraphic 2023-6-16
评论： Seraphic 2023-6-17
Hi all,
I have a quick question.
I am fitting data to AR(1) process using esitmate and arima functions. By the way, variance returned by arima function (mdl.Variance) is unconditional variance or conditional variance?

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Lakshya
Lakshya 2023-6-17
Hi,
The variance returned by the arima function in MATLAB or R corresponds to the conditional variance of the AR(1) process.
Hope this answers your question

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