[R] partial autoregression matrix function
Samuel E. Kemp
sekemp at glam.ac.uk
Mon Jul 4 16:45:35 CEST 2005
Does anyone know of a function in R that is capable of calculating the
partial autoregression matrix function for vector autoregressive moving
average (VARMA) models?
The dse package has functions capable of simulating and estimating
VARMA models, but I did not notice a function for model identification.
Any help would be greatly appreciated.
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