[R] transfer function estimation

[Liaw, Andy]

> From: Peter Dalgaard
> 
> "Kemp S E (Comp)" <sekemp at glam.ac.uk> writes:
> 
> > I have got as far as being able to compute the residual noise, a_t.
> > However, I am slightly confused about what to do next. Reading
> > Box-Jenkins, 1976 (pp. 391) they state the following
> > 
> > "....However, it seems simplest to work with a standard nonlinear
> > least squares computer program in which the derivatives are
> > determined numerically and an option is available of 'constrained
> > iteration' to prevent instability. It is then only necessary to
> > program the computation of a_t itself......."
> > 
> > I know that there is a 'nls' function in R but I really do not have
> > a clue about how to use it in this situation. Perhaps Box-Jenkins
> > are confusing me with their last sentance with regard to the a_t's -
> > is this really possible?
> 
> I'm not sure I'd trust any computer recommendation from 1976, no
> matter how famous the authors are. However, the hint would lead me to
> consider the optim() function.

My copy of Box/Jenkins/Reinsel (1994, 3rd ed.) has exactly the same passage
on page 430 (except an reference to chapter 7)...

Andy
 
> -- 
>    O__  ---- Peter Dalgaard             Blegdamsvej 3  
>   c/ /'_ --- Dept. of Biostatistics     2200 Cph. N   
>  (*) \(*) -- University of Copenhagen   Denmark      Ph: 
> (+45) 35327918
> ~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)             FAX: 
> (+45) 35327907
> 
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