sj wrote: > I have a multivariate time series and I would like to build a forecasting > model with both AR and MA terms, I think that this is possible in R. I have > looked at the vars package and it looks like it is possible to estimate MA > terms using the Phi and Psi functions but I am not sure how to incorporate > the estimated terms into a forecasting model. I have also looked at the dse > package, but have not been able to determine how to estimate a VARMA from > the documentation,
hmmm. In the dse1 package in the dse bundle you might look at ?estMaxLik, or in the User's Guide, both of which have examples of this. I'm not sure why people have trouble finding it, but if you let me know what you did look at then I will try to fix the documentation so it can be found more easily. Paul Gilbert any direction on which packages to use for VARMA would be > appreciated. > > thanks, > > Spencer > > [[alternative HTML version deleted]] > > ______________________________________________ > [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. ==================================================================================== La version française suit le texte anglais. ------------------------------------------------------------------------------------ This email may contain privileged and/or confidential inform...{{dropped}} ______________________________________________ [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.
