[R] ARIMA() fitting with XREG
Jan.Verbesselt at agr.kuleuven.ac.be
Tue Jun 22 21:22:39 CEST 2004
I would like to derive a "realistic" R² between X(t)(time serie1) and
Y(t)(time serie2) from a fitted ARIMA model.
The actual ARIMA model is constructed like this;
Y[t] = aY[t-1] + ... + a[p]Y[t-p] + k*X(t)
The correlation between X(t)(serie1) and Y(t)(serie2) is given by how a
large part of the variance is explained: k*X(t)/a(p) (a(p)=> AR(8)).
If this is correct, how could I decompose the model to obtain this?
Thanks a lot!
ar ma sar sma period diff sdiff
8 0 0 0 36 0 2
Lab of Geomatics and Forest Engineering K.U. Leuven
Vital Decosterstraat 102. B-3000 Leuven Belgium
Tel:+32-16-329750 Fax: +32-16-329760
More information about the R-help