[R] VARMA in R

[Paul Gilbert]

Giovanni Petris wrote:
> You may want to check package dlm and, possibly, dse. 
> 
Yes, you can also do this in dse, either in the ARMA specification or as 
an equivalent state-space model. There is an example in the Users' Guide 
distributed with the package.

Paul

> 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
>> -- 
>> View this message in context: http://www.nabble.com/VARMA-in-R-tp14322697p14322697.html
>> Sent from the R help mailing list archive at Nabble.com.
>>
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>> and provide commented, minimal, self-contained, reproducible code.
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>>
> 
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