Message-ID: <3D4E1DC4.A3B2B445@mailandnews.com>
Date: 2002-08-05T06:40:04Z
From: Krishna Kumar
Subject: Modified ARMA function
R-guRus ,
ARMA function in tseries, seems to be calculating the AR coeff 's as
coef <- lm(xx[,1]~xx[,lag$ar+1])$coef [*snipped* from around line
77,]
I'd like to modify this model with another term somewhat in these lines
lm(xx[,1] ~xx[,lag$ar+1]+mvgsignal)$coef
where mvgsignal is a moving average signal based on some indicators, the
question
is could i simply hack into tseries and do this and hope all is well ,
is there a cleaner
way of specifying arbitrary parameters (additions) to GARCH and other
estimators?.
Please enlighten.
thanks in advance,
Krishna
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._