[R] Transfer Function Modeling
Richard A. Bilonick
rab at nauticom.net
Wed Mar 5 17:09:09 CET 2003
I want to forecast a time series Y using a model that includes previous
values of Y and an exogenous time series X using a transfer function.
The standard procedure as described in Box and Jenkins and numerous
other references is to first fit an ARIMA model to X. Use the ARIMA
model to computer residuals for X and then apply the same ARIMA function
to Y to compute residuals for Y. The cross correlation between these two
sets of residuals then should allow discovery of the structure of the
transfer function that relates X to Y. How can I do this in R? I know
how to use the ts package to fit ARIMA models. Is it possible to use the
"filter" function from the ts package to help compute the proper
residuals for Y? I've read (and reread) the help file on "filter" and
tried to apply it but I must be missing something. How can I use
"filter" to handle both the AR and MA components? Or am I on the wrong
track?
Rick B.
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