[R] ARIMAX

[Paul Gilbert]

MG>I would like to know if there exists some package
MG>within R-system whereby parameters of transfer
MG>function model can be estimated using the
MG>preliminaraly identified model.

The dse package on CRAN handles multivariate ARIMAX models and in the
most recent version maximum likelihood can be done using optim() and
starting with a preliminary identified model. ARIMAX models are similar
in many respects to transfer function models (some would say identical),
but transfer functions are also sometimes associated with continuous
time and frequency domain techniques, and these are not implemented in
dse.

Paul Gilbert

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