Hellow all R fans,
I wrote a R program for
SCAN: Smallest CANonical Correlation Method for
ARIMA(p,d,q) identification. (by Tsay and Tiao (1985))
I don't know if there is already one for this,
but since I was unable to find one, so I did it.
It's ready to download at the following page
http://netstat.stat.tku.edu.tw/download.php
I've tested the program and comared the results with SAS example
output for 197 concentration readings data (Box et al,1994)
and several other data sets, nothing wrong so far, but it might
still have bugs.
Please let me know if you find any question in the program.
regards,
Steve Chen steve at stat.tku.edu.tw
Associate Professor
Department of Statistics
TamKang University, Taiwan
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