On Wed, 1 Mar 2006, Janusz Kawczak wrote: > It looks like just simple ARMA model; there is no visible I-part > in Jarrett's specification. Unless it's hidden in the '...' part :)
If it were an ARMA model, x would be (unknown) white noise but we were told its [integer] values. So in no useful sense is it an ARMA model. Without an error term, this is a set of linear equations. With a white-noise error term, this would be an AR model with an exogeneous input, as handled by arima(). > > Janusz. > > On Wed, 1 Mar 2006, Dirk Eddelbuettel wrote: >> >> On 1 March 2006 at 20:06, Jarrett Byrnes wrote: >> | Hey, all, I may just be missing something, but I'm trying to construct >> | a temporal autoregression with an independant variable other than just >> | what is happened at a previous point in time. So, the model structure >> | would be something like >> | >> | y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a*x(t) >> | >> | I'm even considering a model of >> | >> | y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a1*x(t)+a2*x(t-1)... >> | >> | So, my data looks like >> | >> | Time y x >> | 1 4 6 >> | 2 5 10 >> | 3 10 1 >> | etc. >> | >> | When looking at ar() and similar methods, however, it seemed that the >> | input was a single vector - say, in this case, the value y. Is there a >> | method that allows me to specify an explicit model that would then >> | incorporate x? >> >> Yes: arima(), see in particular the xreg argument. >> >> Dirk >> >> >> -- >> Hell, there are no rules here - we're trying to accomplish something. >> -- Thomas A. Edison > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
