Susana Barbosa
2002-Oct-30 11:10 UTC
[R] Estimation of transfer function time series models
Hi, Is there a function in R to estimate transfer function time series models? Thanks in advance Susana Barbosa -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Susana Barbosa wrote:> > Hi, > > Is there a function in R to estimate transfer function time series models? > > Thanks in advance > > Susana BarbosaTransfer function models are very similar to ARMA models. The AR and MA parts are the denominator and numerator of the transfer function. I tend to think of these models as the same, with a different emphasis in the terminology. With transfer functions, one typically thinks of the input as a control (and often ignores any random inputs). ARMA models typically have random (noise) input and are called ARMAX if there is a control input (exogenous) in addition to the noise. There are a few functions on CRAN for ARMA models. See arima in the ts package or for multivariate models consider various methods in the dse bundle. Paul Gilbert -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._