Hi,
I am using the mAr package to calibrate an Multivariate model (size 3, order 12). I am trying to do the two following things: 1. I would like to calibrate the model using not a single time series, but several of them: each time series should be seen as one "independent" realisation of the mAr process; for instance this happens when you have a time series with lacking data (holes) : if I have two time series and a hiatus in the middle, I would like my obective function in the calibration to be the sum of the two classical objective function, one for each continuous time series. Is there a function in R that could do this type of estimation? Or is there a nice way to do that by modifying the objective function within the mAr.est function (I tried but the code is too opaque..)? 2. Second, I would like to use the multivariate Ljung-Box test for the residuals of this multivariate AR, but I couldn't find it - (I found just the univariate case) - does it exist somewhere? Thanks a lot for your help!! Stephane
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