Hi *, Firstly, thank you so much for your time to read my email.
I am currently interested in how to use R to predict time series from models fitted by ARIMA. The package I used is basic stats package, and the method I used is predict.Arima. What I know is that ARIMA parameters are estimated by Kalman Filter, but I have difficulty in understanding how exactly maximum likelihood (ML) estimator can be computed based on Kalman Filter, i.e. given a time series and an ARIMA model, how can I compute the ARIMA parameters for prediction. Could you please give me some help or provide some materials for it? Thank you so much! will _________________________________________________________________ 享用世界上最大的电子邮件系统― MSN Hotmail。 http://www.hotmail.com
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