[R] Query on multivariate time series

[Pradeep Gunda]

Hi,

Could anyone inform how to perform multi-variate auto regression using
the past 't' values for regression in R. I have looked at ARMA
provided by DES library and mvr provided by PLS library but could not
match them to my requirements.

Specifically, I want the following

Say I have attributes a1-a4. and the regression equation is as follows:

a4(t) = alpha1*a1(t-X)+alpha2*a2(t-X)+alpha3*a3(t-X)+alpha4*a1(t-X-1)+alpha5*a2(t-X-1)...
             alphan*a3(t-2X)

where X is the window length of the time series.

Thanks,
Pradeep