[R] FW: Multivariate ARIMA
Thomas.Lofaro at SurveySampling.com
Tue Mar 1 20:56:17 CET 2016
Thanks so much for reaching out.
I read through the link but I am not having any luck. It seems the first part of the link refers to a single variable ARIMA model with no exogenous variable. Then the link starts discussing forecasting.
Anyway, I have two columns of data in my matrix (each row represents a new month). I want column A to predict Column B, where I can adjust the lag to be say 1,2, or 6 months.
Is there any example R code that accomplishes this that you know of? Apologies for my lack of proficiency in the program.
From: Paul Gilbert [mailto:pgilbert902 at gmail.com]
Sent: Monday, February 15, 2016 6:27 PM
To: Thomas Lofaro
Cc: r-help at r-project.org
Subject: Re: [R] FW: Multivariate ARIMA
See also package dse. There are examples in the guide:
On 02/14/2016 06:00 AM, r-help-request at r-project.org wrote:
> Date: Fri, 12 Feb 2016 18:12:37 +0000 From: Thomas
> Lofaro<Thomas.Lofaro at SurveySampling.com> To:"r-help at R-project.org"
> <r-help at R-project.org> Subject: [R] FW: Multivariate ARIMA
> Question.... Message-ID:
> <BN4PR07MB22103CC8EB3FF13CCDF00D4D93A90 at BN4PR07MB2210.namprd07.prod.ou
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> Hi, sorry, I will try to make this short. Essentially, what I am
> trying to do is run a multivariate ARIMA model predicting one variable
> with another. However, the only R packages I have found to
> accommodate such an analysis are ARIMAX and VAR. Unfortunately, there
> don?t seem to be any good tutorials or demonstrations of how to
> actually perform this analysis in practice, on my two columns of data.
> I was wondering if anyone knew of a resource that might help (or one
> that provided an example of r code to accomplish this).
> Thanks sooo much!
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