Giovanni Petris wrote: > You may want to check package dlm and, possibly, dse. > Yes, you can also do this in dse, either in the ARMA specification or as an equivalent state-space model. There is an example in the Users' Guide distributed with the package.
Paul > In dlm you can cast a VARMA model in state space form (dlmModARMA) and > estimate unknown parameters by maximum likelihood (dlmMLE). > > > Best, > Giovanni > >> Date: Thu, 13 Dec 2007 11:17:47 -0800 (PST) >> From: creepa1982 <[EMAIL PROTECTED]> >> Sender: [EMAIL PROTECTED] >> 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! >> >> Benjamin >> -- >> View this message in context: >> http://www.nabble.com/VARMA-in-R-tp14322697p14322697.html >> Sent from the R help mailing list archive at Nabble.com. >> >> ______________________________________________ >> R-help@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. >> >> > ==================================================================================== La version française suit le texte anglais. ------------------------------------------------------------------------------------ This email may contain privileged and/or confidential in...{{dropped:26}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
