[R] partial autoregression matrix function

Samuel E. Kemp sekemp at glam.ac.uk
Mon Jul 4 16:45:35 CEST 2005


Hi,

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.

Kind regards,

Sam.




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