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state space model for poisson distribution
2 messages · arun, Spencer Graves
Have you looked at the 'sspir' package? A good introduction to the package can be found in C. Dethlefsen and S. Lundbye-Christensen (2006) "Formulating state space models in r with focus on longitudinal regression models", Journal of Statistical Software, 16(1) [http://www.jstatsoft.org/v16/i01] Hope this helps. Spencer Graves
arun kirshna wrote:
Hi Rers,
I have a poission time series model with 5 parameters. I just wanted to remove two of the lag on response in the model and put it as a system model. I am not sure about the codes to combine these two on R. If anybody has any R example (code), please post it.
My original model: log(Y(t))~constant+b1*Y(t-1)+b2*Y(t-2)+b3*(variable1)+b4*(variable2)+e
I would like to construct a model:
log(Y(t))~constant+b1*(variable1)+b2*(variable2)+X(t)
X(t)~phi1*Xt-1+phi2*Xt-2+error
where X(t) is the autoregressive lag effect of response.
A.K.
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