VARMA in R
Hey Giovanni, thanks a lot for the help. I tried out combining the two functions dlmModARMA and dlmMLE and it works. The only problem I have right now is this. When I pass on the information about the starting parameters (param) in the dlmMLE function I can only input one parameter vector. However, for a VARMA I have a matrix of coefficients for both the AR part and MA part. How can I signal to dlmModARMA which part of the passed on vector is supposed to be the AR input, the MA input and so on? Thanks again! Benjamin
Giovanni Petris wrote:
You may want to check package dlm and, possibly, dse. In dlm you can cast a VARMA model in state space form (dlmModARMA) and estimate unknown parameters by maximum likelihood (dlmMLE). Best, Giovanni
Date: Thu, 13 Dec 2007 11:17:47 -0800 (PST) From: creepa1982 <Bannho at gmx.de> Sender: r-help-bounces at r-project.org Precedence: list Hi all, does anyone know of a package/function for fitting Vector Autoregressive Moving Average models? I looked through most of the packages available but could only find functions to fit a VAR. Any help would be appreciated! Benjamin -- View this message in context: http://www.nabble.com/VARMA-in-R-tp14322697p14322697.html Sent from the R help mailing list archive at Nabble.com.
______________________________________________ R-help at r-project.org 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.
-- Giovanni Petris <GPetris at uark.edu> Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/
______________________________________________ R-help at r-project.org 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.
View this message in context: http://www.nabble.com/VARMA-in-R-tp14322697p14350275.html Sent from the R help mailing list archive at Nabble.com.