Re: [R] VARMA in R

From: creepa1982 <Bannho_at_gmx.de>
Date: Sat, 15 Dec 2007 04:16:51 -0800 (PST)

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.
>>
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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/
> 
> ______________________________________________
> 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.
> 
> 

-- 
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Received on Sat 15 Dec 2007 - 12:26:11 GMT

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