[R] VARMA in R

Giovanni Petris GPetris at uark.edu
Thu Dec 13 22:31:33 CET 2007


You may want to check package dlm and, possibly, dse. 

In dlm you can cast a VARMA model in state space form (dlmModARMA) and
estimate unknown parameters by maximum likelihood (dlmMLE). 


Best,
Giovanni

> Date: Thu, 13 Dec 2007 11:17:47 -0800 (PST)
> From: creepa1982 <Bannho at gmx.de>
> Sender: r-help-bounces at r-project.org
> Precedence: list
> 
> 
> Hi all, 
> 
> does anyone know of a package/function for fitting Vector Autoregressive
> Moving Average models? I looked through most of the packages available but
> could only find functions to fit a VAR. 
> 
> Any help would be appreciated! 
> 
> Benjamin
> -- 
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-- 

Giovanni Petris  <GPetris at uark.edu>
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/



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