Hi: I'm not at all familiar with the r-inla package so I can't help you there. But any arima model can be re-cast into its state space equivalent form. ( I think Jeremy Penzer wrote a paper for showing how this is done in general ) So, one way would be to convert the arima (1,0,1) model for example to it's state space equivalent and then use say the DLM package like you mentioned. ( there are others also like sspir etc but I'm not familar with them ) .
The DLM package is essentially the full R implementation of the theory in West and Harrison" Bayesian Forcasting and Dynamic Models" text. So, if you're not familiar with that book, I would read it or atleast part of it beeore getting involved with the DLM package. It's quite a nice package but I think it's better if you read West and Harrison first. There may even be a function in the DLM package for converting from arima to state space. I'm not 100% sure about that but there probably is. I hope that helps a little. On Thu, Feb 14, 2013 at 4:27 PM, Juan Manuel Becerra <jmblue...@gmail.com>wrote: > I'm searching a method to estimate the hyper-parameters in arima models. > I'm reading about r-inla package, but in the examples section only talk > about the AR part of the arima, but i need help about the MA part too. > > I'm beginner in Bayesian methods, I'm reading the documentation about dlm > package and kalman filters, but the computacional cost of inla i think is > better, but only AR models are supported for the moment. What's packages > can help me for that?. > > Someone can help me about it?. I need ligth for this question. If it's > possible with a arima(1,0,1) example, w > > Thanks All > > [[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. > [[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.
