Re: [R] VARMA in R

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. Howev

Re: [R] VARMA in R

Giovanni Petris wrote: > You may want to check package dlm and, possibly, dse. > Yes, you can also do this in dse, either in the ARMA specification or as an equivalent state-space model. There is an example in the Users' Guide distributed with the package. Paul > In dlm you can cast a VARMA

Re: [R] VARMA in R

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]> > Sende

[R] VARMA in R

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