[R] Transfer Function Estimation

Rick Bilonick rab at nauticom.net
Wed Nov 5 17:50:43 CET 2003

Suppose you estimate the ARIMA(p,d,q) paramters for an input x[t] using 
the arima function. Is there an easy way to apply these values to the 
output y[t] for transfer function modeling? For example, if I estimate a 
(2,1,1) ARIMA for x[t] with ar(1) = 0.5882, ar(2) = -0.01517, and ma(1) 
= -0.9688, how can apply these to y[t] so I can then estimate the ccf 
between the two sets of pre-whitened values?

Rick B.

More information about the R-help mailing list