From: Arun Kumar Saha <arun.kumar.saha_at_gmail.com>

Date: Wed 20 Sep 2006 - 10:11:36 GMT

Date: Wed 20 Sep 2006 - 10:11:36 GMT

Can you suggest me any solution more specifically?

On 9/4/06, Spencer Graves <spencer.graves@pdf.com> wrote:

*>
*

> Have you tried 'RSiteSearch("multivariate autoregression",

*> "functions")'? This produced 14 hits for me just now, the first of
**> which mentions a package 'MSBVAR'. Have you looked at that?
**>
**> If that failed, I don't think it would be too hard to modify
**> 'mAr.est' to do what you want. If it were my problem, I might a local
**> copy of the function, then add an argument accepting a 2 or
**> 3-dimensional array with numbers for AR coefficients to be fixed and NAs
**> for the coefficients. Then I'd use 'debug' to walk through the function
**> line by line until I figured out how to modify the function to do what I
**> wanted. I haven't checked all the details, so I don't know for sure if
**> this would work, but the function contains a line 'R = qr.R(qr((rbind(K,
**> diag(scale)))), complete = TRUE)' which I would start by decomposing,
**> possibly starting as follows:
**>
**> Z <- rbind(K, diag(scale)
**>
**> I'd figure out how the different columns of Z relate to my problem, then
**> modify it appropriately to get what I wanted.
**>
**> Another alternative would be to program it from scratch using
**> something like 'optim' to minimize the sum of squares of residuals over
**> the free parameters in my AR matrices. I'm confident I could make this
**> work, even if the I somehow could not get it with either of the other two.
**>
**> There may be something else better, e.g., a Kalman filter
**> representation, but I can't think how to do that off the top if my head.
**>
**> Hope this helps.
**> Spencer Graves
**>
**> Arun Kumar Saha wrote:
**> > Dear R users,
**> >
**> > I am using mAr package to fit a Vector autoregressive model to my data.
**> But
**> > here I want to put some predetermined values for some elements in
**> > coefficient matrix that mAr.est going to estimate. For example if p=3
**> then I
**> > want to put A3[1,3] = 0 and keep rest of the elements of coefficient
**> > matrices to be determined by mAr.est.
**> >
**> > Can anyone please tell me how can I do that?
**> >
**> > Sincerely yours,
**> > Arun
**> >
**> > [[alternative HTML version deleted]]
**> >
**> > ______________________________________________
**> > R-help@stat.math.ethz.ch 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.
**> >
**>
*

-- Arun Kumar Saha, M.Sc.[C.U.] S T A T I S T I C I A N [Analyst] RISK MANAGEMENT DIVISION Transgraph Consulting [www.transgraph.com] Hyderabad, INDIA Contact # Home: (91-033) 25558038 Office: (91-040) 30685012 Ext. 17 FAX: (91-040) 55755003 Mobile: 919989122010 E-Mail: arun.riskanalyst@transgraph.com arun.kumar.saha@gmail.com [[alternative HTML version deleted]] ______________________________________________ R-help@stat.math.ethz.ch 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.Received on Wed Sep 20 20:27:31 2006

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