Have you considered using corARMA with, e.g., lme in library(nlme),
as described in Pinheiro and Bates (2000) Mixed-Effects Models in S and
S-PLUS (Springer, esp. table 5.3)?
hope this helps.
spencer graves
p.s. You might get quicker and more useful replies if you follow the
posting guide! "www.R-project.org/posting-guide.html".
Zhu, Zhaoxuan wrote:
> Dear all,
>
>
> I'm looking for how can I input a linear model with an arma model,like
>
> log(y) = 8.95756 + 0.0346414^t - 0.1*t^2 + ut
> ut=-0.296ut-1+at-0.68at-1
>
> where log(y) is qudratic function ,for the time series trend,
>
> and get then get the residuals from the first function.
>
> " obersvations value - the fit value = ut"
>
> and fit an ARIMA(1,1,1) model for ut.
>
> anyway,how can I combine this two models together as a group ?
>
> my purpose is to to use this mixed model forecast 'y'
>
> can you help me? I will very appreciate it.
>
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