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2007 Mar 05
1
Heteroskedastic Time Series
...ng, but my requirement seems to fall just
outside the capabilities of the arima function in R. I'd like to fit an
ARMA model where the variance of the disturbances is a function of some
exogenous variable. So something like:
Y_t = a_0 + a_1 * Y_(t-1) +...+ a_p * Y_(t-p) + b_1 * e_(t-1) +...+ b_q *
e_(t-q) + e_t,
where
e_t ~ N(0, sigma^2_t),
and with the variance specified by something like
sigma^2_t = exp(beta_t * X_t),
where X_t is my exogenous variable. I would be very grateful if somebody
could point me in the direction of a library that could fit this (or a
similar) model.
Thank...
2008 Oct 15
4
a really simple question on polynomial multiplication
Dear R people:
Is there a way to perform simple polynomial multiplication; that is,
something like
(x - 3) * (x + 3) = x^2 - 9, please?
I looked in poly and polyroot and expression. There used to be a
package that had this, maybe?
thanks,
Erin
--
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: erinm.hodgess at