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 <[EMAIL PROTECTED]> > Sender: [EMAIL PROTECTED] > 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. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- Giovanni Petris <[EMAIL PROTECTED]> Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/ ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
