Hagen Schm??ller wrote:
> Hi R-Community,
>
> so far I dealt with univariate processes and used the function
"arima" to
> estimate an ARMA(1,1)-model. For multivariate processes there are the
> functions "estVARXar" and "estVARXls" from package
"DSE". But how can I
> estimate an VARMA(1,1)-model,
You should look at estMaxLik and the dse Users' Guide examples on
specifying models. The Users' Guide gets installed in
dse1/doc/dse-guide.pdf. (In dse the ARMA class of models includes VARMA,
VARMAX, ARIMA, VARIMA, VARIMAX, etc.)
or even better determine the orders and> estimate the parameters?
If you want to do this automatically, I suggest looking at the
estimation method called bft in dse1. It estimates VAR models at
different lag lengths, converts them to state space and does a
reduction, and then compares the different results. The state space
reduction results in a more parsimonious representation. This often has
only an ARMA equivalent and not a VAR equivalent so you should not think
of this as limiting yourself to VAR models, even thought the estimation
starts with one. In my experience this does about as well as you can
hope to do automatically.
If you want to do it manually, estimate the different models you want to
consider and then compare them. The function informationTests in dse1 is
a good place to start for doing comparisons.>
> Much thanks in advance,
>
> Hagen Schmoeller
> --
> Dipl.-Ing. Hagen K. Schm??ller
> Leiter Forschungsgruppe Stromerzeugung und -handel
> Institut f??r Elektrische Anlagen und Energiewirtschaft, RWTH Aachen
> Schinkelstra??e 6, D-52056 Aachen, Germany
> Tel.: +49 (0)241 80-96734
> Fax : +49 (0)241 80-92197
> Hagen.Schmoeller at iaew.rwth-aachen.de
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
>