VARMA in R
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.
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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/