Hi R-Community,
I estimated a VARMA model with bft in dse1 without input: A(L)yt = B(L)et
I got the auto-regressive polynomial array A and the moving-average
polynomial array B, but how can I access the covariances of the white noise
et (disturbance vector), e.g. for simulation?
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
