[R] Multivariate Autoregressive Model calibration and residual testing

[Zebouni, Stephane (Exchange)]

Hi,

 

I am using the mAr package to calibrate an Multivariate model (size 3,
order 12). I am trying to do the two following things:

 

1.	I would like to calibrate the model using not a single time
series, but several of them: each time series should be seen as one
"independent" realisation of the mAr process; for instance this happens
when you have a time series with lacking data (holes) : if I have two
time series and a hiatus in the middle, I would like my obective
function in the calibration to be the sum of the two classical objective
function, one for each continuous time series. Is there a function in R
that could do this type of estimation? Or is there a nice way to do that
by modifying the objective function within the mAr.est function (I tried
but the code is too opaque..)?

 

2.	Second, I would like to use the multivariate Ljung-Box test for
the residuals of this multivariate AR, but I couldn't find it - (I found
just the univariate case) - does it exist somewhere?

 

Thanks a lot for your help!!

 

Stephane

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