[R] Multivariate ARMA Model

From: Hagen Schmöller <Hagen.Schmoeller_at_iaew.rwth-aachen.de>
Date: Mon 26 Jul 2004 - 00:10:29 EST


Hi R-Community,

so far I dealt with univariate processes and used the function "arima" to estimate an ARMA(1,1)-model. For multivariate processes there are the functions "estVARXar" and "estVARXls" from package "DSE". But how can I estimate an VARMA(1,1)-model, or even better determine the orders and estimate the parameters?

Much thanks in advance,

Hagen Schmoeller

--
Dipl.-Ing. Hagen K. Schmöller
Leiter Forschungsgruppe Stromerzeugung und -handel
Institut für Elektrische Anlagen und Energiewirtschaft, RWTH Aachen
Schinkelstraße 6, D-52056 Aachen, Germany
Tel.: +49 (0)241 80-96734
Fax : +49 (0)241 80-92197
Hagen.Schmoeller@iaew.rwth-aachen.de

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Received on Mon Jul 26 00:25:01 2004

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