[R] evaluating multivariate time series

Erin Hodgess erinm.hodgess at gmail.com
Tue Mar 16 04:19:12 CET 2010

Dear R People:

Here are some steps for the "simulate" from the dse package:

 mod1 <- ARMA(A=array(c(1,-.25,-.05), c(3,1,1)), B=array(1,c(1,1,1)))
    AR   <- array(c(1, .5, .3, 0, .2, .1, 0, .2, .05, 1, .5, .3) ,c(3,2,2))
    VAR  <- ARMA(A=AR, B=diag(1,2))
    simData <- simulate(VAR)

I wanted to evaluate the simData as an ARMA model.
But here are my results:

> l.ARMA(simData)
Error: could not find function "l.ARMA"
> l(simData$out1,simData$out2)

Any suggestions, please:


Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: erinm.hodgess at gmail.com

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