[R] partial autoregression matrix function

From: Samuel E. Kemp <sekemp_at_glam.ac.uk>
Date: Tue 05 Jul 2005 - 00:45:35 EST


Does anyone know of a function in R that is capable of calculating the partial autoregression matrix function for vector autoregressive moving average (VARMA) models?

The dse package has functions capable of simulating and estimating VARMA models, but I did not notice a function for model identification.

Any help would be greatly appreciated.

Kind regards,


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 Received on Tue Jul 05 00:49:21 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:33:11 EST