Hey Giovanni, thanks a lot for the help. I tried out combining the two functions dlmModARMA and dlmMLE and it works. The only problem I have right now is this. When I pass on the information about the starting parameters (param) in the dlmMLE function I can only input one parameter vector. However, for a VARMA I have a matrix of coefficients for both the AR part and MA part. How can I signal to dlmModARMA which part of the passed on vector is supposed to be the AR input, the MA input and so on?
Thanks again! Benjamin Giovanni Petris wrote: > > > 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. > > -- View this message in context: http://www.nabble.com/VARMA-in-R-tp14322697p14350275.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.
