[R] Query on multivariate time series
spencer.graves at pdf.com
Wed Mar 1 04:40:06 CET 2006
As I read the model you described, it is NOT a multivariate
autoregression but a univariate autoregression with explanatory
variables and some parameters fixed. The "arima" command should be able
to fit this. Try the following:
X <- rnorm(99)
X2 <- cbind(x=X[-1], x1=X[-99])
fit1 <- arima(LakeHuron, order = c(4,0,0),xreg = X2)
b1a <- coef(fit1)
b1a[1:2] <- 0
b1a[-(1:2)] <- NA
fit1a <- update(fit1, fixed=b1a)
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hope this helps.
Pradeep Gunda wrote:
> Could anyone inform how to perform multi-variate auto regression using
> the past 't' values for regression in R. I have looked at ARMA
> provided by DES library and mvr provided by PLS library but could not
> match them to my requirements.
> Specifically, I want the following
> Say I have attributes a1-a4. and the regression equation is as follows:
> a4(t) = alpha1*a1(t-X)+alpha2*a2(t-X)+alpha3*a3(t-X)+alpha4*a1(t-X-1)+alpha5*a2(t-X-1)...
> where X is the window length of the time series.
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