[R] transfer function estimation

[Peter Dalgaard]

"Kemp S E (Comp)" <sekemp at glam.ac.uk> writes:

> I have got as far as being able to compute the residual noise, a_t.
> However, I am slightly confused about what to do next. Reading
> Box-Jenkins, 1976 (pp. 391) they state the following
> 
> "....However, it seems simplest to work with a standard nonlinear
> least squares computer program in which the derivatives are
> determined numerically and an option is available of 'constrained
> iteration' to prevent instability. It is then only necessary to
> program the computation of a_t itself......."
> 
> I know that there is a 'nls' function in R but I really do not have
> a clue about how to use it in this situation. Perhaps Box-Jenkins
> are confusing me with their last sentance with regard to the a_t's -
> is this really possible?

I'm not sure I'd trust any computer recommendation from 1976, no
matter how famous the authors are. However, the hint would lead me to
consider the optim() function.

-- 
   O__  ---- Peter Dalgaard             Blegdamsvej 3  
  c/ /'_ --- Dept. of Biostatistics     2200 Cph. N   
 (*) \(*) -- University of Copenhagen   Denmark      Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)             FAX: (+45) 35327907