[R] state space model for poisson distribution

From: arun kirshna <smartpink111_at_yahoo.com>
Date: Mon, 10 Mar 2008 12:39:01 -0700 (PDT)


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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