[R] Query on multivariate time series

From: Pradeep Gunda <pradeep.gunda_at_gmail.com>
Date: Mon 27 Feb 2006 - 12:39:32 EST


Hi,

Could anyone inform how to perform multi-variate auto regression using the past 't' values for regression in R. I have looked at ARMA provided by DES library and mvr provided by PLS library but could not match them to my requirements.

Specifically, I want the following

Say I have attributes a1-a4. and the regression equation is as follows:

a4(t) = alpha1*a1(t-X)+alpha2*a2(t-X)+alpha3*a3(t-X)+alpha4*a1(t-X-1)+alpha5*a2(t-X-1)...

             alphan*a3(t-2X)

where X is the window length of the time series.

Thanks,
Pradeep



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 Mon Feb 27 12:49:24 2006

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:42:45 EST