(Sorry for the delay in responding to this.)
On 01/05/2016 06:00 AM, r-help-requ...@r-project.org wrote:
Date: Mon, 4 Jan 2016 11:31:22 -0500
From: Mark Leeds
To: Stefano Sofia
Cc:"r-help@r-project.org"
Subject: Re: [R] Estimating MA parameters through arima or through
pa
Hi: I don't have time to look at the details of what you're doing but the
"equivalence"
between state space and arima ( as paul gilbert pointed out a few weeks ago
) is not a true equivalence.
if you are in an area of the parameter space that the state space
formulation
can't reach, then you won
Dear list users,
I want to use apply a MA(2) process (x=beta1*epsilon_(t-1) +
beta2*epsilon_(t-1) + epsilon_(t)) to a given time series (x), and I want to
estimate the two parameters beta1, beta2 and the variance of the random
variable epsilon_(t).
If I use
MA2_1 <- Arima(x, order=c(0,0,2))
I g
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