[R] Autoregressive Model with Independent Variable
Jarrett Byrnes
jebyrnes at ucdavis.edu
Thu Mar 2 20:00:19 CET 2006
On Mar 1, 2006, at 8:35 PM, Dirk Eddelbuettel wrote:
>
> On 1 March 2006 at 20:06, Jarrett Byrnes wrote:
> | Hey, all, I may just be missing something, but I'm trying to
> construct
> | a temporal autoregression with an independant variable other than
> just
> | what is happened at a previous point in time. So, the model
> structure
> | would be something like
> |
> | y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a*x(t)
> |
>
> Yes: arima(), see in particular the xreg argument.
>
Thanks so much! arima() seems to mostly fit the bill. I have data
from multiple sites to use, as well. e.g.
Time y1 x1 y2 x2
1 4 6 7 10
2 5 10 5 20
3 10 1 7 15
etc.
I would like to use all of the sites in creating a model - I realize
that the structure of the model would now be along the lines of:
y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a1*x(t)+a2*x(t-1)...+c
Where c is the site effect - I know this can get all wrapped up in the
intercept, but, how does one pass this data to arima() to make it work?
I know that arima() takes a vector of y values - can it take a matrix
of y values and a corresponding matrix of x values, or is there some
other function that does this?
-Jarrett
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