check fseris library. On 3/5/07, [EMAIL PROTECTED] <[EMAIL PROTECTED]> wrote: > Hi R-helpers, > > I'm new to time series modelling, but my requirement seems to fall just > outside the capabilities of the arima function in R. I'd like to fit an > ARMA model where the variance of the disturbances is a function of some > exogenous variable. So something like: > > Y_t = a_0 + a_1 * Y_(t-1) +...+ a_p * Y_(t-p) + b_1 * e_(t-1) +...+ b_q * > e_(t-q) + e_t, > > where > > e_t ~ N(0, sigma^2_t), > > and with the variance specified by something like > > sigma^2_t = exp(beta_t * X_t), > > where X_t is my exogenous variable. I would be very grateful if somebody > could point me in the direction of a library that could fit this (or a > similar) model. > > Thanks, > > James Kirkby > Actuarial Maths and Stats > Heriot Watt University > > ______________________________________________ > [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 > and provide commented, minimal, self-contained, reproducible code. >
-- WenSui Liu A lousy statistician who happens to know a little programming (http://spaces.msn.com/statcompute/blog) ______________________________________________ [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 and provide commented, minimal, self-contained, reproducible code.
