time series in R

Paul Gilbert pgilbert@bank-banque-canada.ca
Mon, 19 Jul 1999 17:37:04 -0400

>    4.  The notation for ARMA models may well be the stuff that
>        holy wars are made of,
For this episode of the war perhaps we should stick with univariate
arima as in S, and use the same notation. For the multivariate episode I

A(L) y(t) = B(L) e(t) + C(L) u(t)

for ARMA models and

z(t) = F z(t-1) + G u(t) +K e(t-1)
y(t) = H z(t) + e(t)

for state-space models. I think it is important to think about
state-space and ARMA together, in order to try and have a consistent

Paul Gilbert

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