Hello to everyone! I have a question for you..I need to predict multivariate time series, for example sales of 2 products related one to the other, having the 2 prices like inputs.. Is there in R a function to do it? I saw dse package but I didn't find what a I'm looking for.. Could anyone help me? Thank you very much Giusy -- View this message in context: http://www.nabble.com/Multivariate-time-series-tf4786472.html#a13693139 Sent from the R help mailing list archive at Nabble.com.
U might look at Vector Auto regression model. Try library(mAr) -----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Giusy Sent: Sunday, November 11, 2007 10:11 PM To: r-help at r-project.org Subject: [R] Multivariate time series Hello to everyone! I have a question for you..I need to predict multivariate time series, for example sales of 2 products related one to the other, having the 2 prices like inputs.. Is there in R a function to do it? I saw dse package but I didn't find what a I'm looking for.. Could anyone help me? Thank you very much Giusy -- View this message in context: http://www.nabble.com/Multivariate-time-series-tf4786472.html#a13693139 Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help at 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.
You may want to have a look at the vars package Frank Giusy schrieb:> Hello to everyone! > I have a question for you..I need to predict multivariate time series, for > example sales of 2 products related one to the other, having the 2 prices > like inputs.. > Is there in R a function to do it? I saw dse package but I didn't find what > a I'm looking for.. > Could anyone help me? > Thank you very much > Giusy >
Giusy, There is also a package "dlm" that may be useful, but you need to specify the model you want to use. Giovanni> Date: Sun, 11 Nov 2007 08:40:42 -0800 (PST) > From: Giusy <giemme81 at libero.it> > Sender: r-help-bounces at r-project.org > Precedence: list > > > Hello to everyone! > I have a question for you..I need to predict multivariate time series, for > example sales of 2 products related one to the other, having the 2 prices > like inputs.. > Is there in R a function to do it? I saw dse package but I didn't find what > a I'm looking for.. > Could anyone help me? > Thank you very much > Giusy > -- > View this message in context: http://www.nabble.com/Multivariate-time-series-tf4786472.html#a13693139 > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help at 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 <GPetris at uark.edu> Associate Professor Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/
Package dse does do linear, multivariate time series with multivariate exogenous inputs, using VAR, multivariate ARMA, and state-space models, just like you are describing. You can specify the model or have it automatically determined. Perhaps you could give a few more details about what you are looking for. (I assume you have looked at the dse Users Guide distributed with the bundle, or some of the help, for example ?estVARXls, ?bft, and ?forecast. Sections 6 and 7 of the guide are about the prediction problem, very much like you describe.) Paul Giusy wrote:> Hello to everyone! > I have a question for you..I need to predict multivariate time series, for > example sales of 2 products related one to the other, having the 2 prices > like inputs.. > Is there in R a function to do it? I saw dse package but I didn't find what > a I'm looking for.. > Could anyone help me? > Thank you very much > Giusy=================================================================================== La version fran?aise suit le texte anglais. ------------------------------------------------------------------------------------ This email may contain privileged and/or confidential in...{{dropped:26}}
Thank you very much for your answers,you are all very kind!Excuse me, can I make another question about time series? When I use arimaId or best.arima function in package forecast, I can't insert regressors, I can insert them only when I make predictions.. But isn't the model influenced by regressors (for example sales are influenced by presence of promotion)? What can I do? Do I have to clean the data by regressors effect before using arimaId or can I use the original data? Thank you very much, I hope to receive your answer.. Giusy Giusy wrote:> > Hello to everyone! > I have a question for you..I need to predict multivariate time series, for > example sales of 2 products related one to the other, having the 2 prices > like inputs.. > Is there in R a function to do it? I saw dse package but I didn't find > what a I'm looking for.. > Could anyone help me? > Thank you very much > Giusy >-- View this message in context: http://www.nabble.com/Multivariate-time-series-tf4786472.html#a13724180 Sent from the R help mailing list archive at Nabble.com.