[R] VARMA

[Giovanni Petris]

Package dse does.

HTH,
Giovanni

On Wed, 2010-12-08 at 17:45 +0100, Garten Stuhl wrote:
> Hi all,
> 
> 
> 
> I want to estimate parameters from a VARMA(p,q)-Modell.
> 
> 
> 
> The equations of the model or the model structures is given by:
> 
> 
> 
> Xt=beta1+beta2*Xt-1+beta3*Yt-1+epsilon1
> 
> Yt=beta4+beta5*Yt-1+espilon2
> 
> 
> 
> epsilon1 and espilon2 are white noise.
> 
> 
> 
> Xt is given by a vector of n elements e.g. (2, 4, 7, 9, ,n) and Yt is
> given by a vector of n elements e.g. (4,9,12,17,,n).
> 
> 
> 
> The lineVar from tsDyn allows estimating VAR(p)-processes but not
> VARMA(p,q)-processes and support not the explained model structure of Xt and
> Yt.
> 
> 
> 
> Is there any easy understandable program available that supports estimation
> of these model parameters ?
> 
> 
> 
> Thanks so much.
> 
> 
> 
> Best,
> 
> Thomas
> 
> 	[[alternative HTML version deleted]]
> 
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