[R] VARMA in R
GPetris at uark.edu
Thu Dec 13 22:31:33 CET 2007
You may want to check package dlm and, possibly, dse.
In dlm you can cast a VARMA model in state space form (dlmModARMA) and
estimate unknown parameters by maximum likelihood (dlmMLE).
> Date: Thu, 13 Dec 2007 11:17:47 -0800 (PST)
> From: creepa1982 <Bannho at gmx.de>
> Sender: r-help-bounces at r-project.org
> Precedence: list
> Hi all,
> does anyone know of a package/function for fitting Vector Autoregressive
> Moving Average models? I looked through most of the packages available but
> could only find functions to fit a VAR.
> Any help would be appreciated!
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> and provide commented, minimal, self-contained, reproducible code.
Giovanni Petris <GPetris at uark.edu>
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
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