Hi R-helpers, I would like to derive a "realistic" R� between X(t)(time serie1) and Y(t)(time serie2) from a fitted ARIMA model.
The actual ARIMA model is constructed like this; Y[t] = a[1]Y[t-1] + ... + a[p]Y[t-p] + k*X(t) *Y=Serie2 *X=Serie1=Xreg *AR(p=8) The correlation between X(t)(serie1) and Y(t)(serie2) is given by how a large part of the variance is explained: k*X(t)/a(p) (a(p)=> AR(8)). If this is correct, how could I decompose the model to obtain this? Thanks a lot! Jan > regressie1$arma ar ma sar sma period diff sdiff 8 0 0 0 36 0 2 _______________________________________________________________________ Jan Verbesselt Research Associate Lab of Geomatics and Forest Engineering K.U. Leuven Vital Decosterstraat 102. B-3000 Leuven Belgium Tel:+32-16-329750 Fax: +32-16-329760 http://gloveg.kuleuven.ac.be/ ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
