[R] Heteroskedastic Time Series

[Wensui Liu]

check fseris library.

On 3/5/07, james at ma.hw.ac.uk <james at ma.hw.ac.uk> wrote:
> Hi R-helpers,
>
> I'm new to time series modelling, but my requirement seems to fall just
> outside the capabilities of the arima function in R.  I'd like to fit an
> ARMA model where the variance of the disturbances is a function of some
> exogenous variable.  So something like:
>
> Y_t = a_0 + a_1 * Y_(t-1) +...+ a_p * Y_(t-p) + b_1 * e_(t-1) +...+ b_q *
> e_(t-q) + e_t,
>
> where
>
> e_t ~ N(0, sigma^2_t),
>
> and with the variance specified by something like
>
> sigma^2_t = exp(beta_t * X_t),
>
> where X_t is my exogenous variable.  I would be very grateful if somebody
> could point me in the direction of a library that could fit this (or a
> similar) model.
>
> Thanks,
>
> James Kirkby
> Actuarial Maths and Stats
> Heriot Watt University
>
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>


-- 
WenSui Liu
A lousy statistician who happens to know a little programming
(http://spaces.msn.com/statcompute/blog)