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]] > > ______________________________________________ > 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. ______________________________________________ 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.
