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
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