search for: berchtold

Thanks, Can't find an ARIMA in base, dse1/2 or tseries, only references to. What package is it in? Thanks again! Best regards, /fb -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the

Hi all, Can I run a cointegrating regression, for example delta Xt=a1(Yt-1-cXt-1)+E1t and delta Yt=-b1(Yt-1-cXt-1)+E2t with R were Xt and Yt are non stationary time series at t a,b,c are parameters and E1t and E2t are error terms at t. Yt-Xt is stationary Any suggestions are welcome. Best regards, /fb -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing

...-----Original Message----- From: Adrian Raftery [mailto:raftery at stat.washington.edu] Sent: Tuesday, October 22, 2002 10:15 AM To: Warnes, Gregory R Subject: Re: FW: [R] Mixture Transition Distribution (MTD) time series model in R or S ? Thanks, Greg. Current MTD software is reviewed in Andr? Berchtold and Adrian E. Raftery "The Mixture Transition Distribution (MTD) Model for High-Order Markov Chains and Non-Gaussian Time Series." Technical Report no. 360, Department of Statistics, University of Washington. http://www.stat.washington.edu/www/research/reports/1990s/ To appear in Statisti...

Is it possible to estimate dr = m(r) dt + s(r) dz or dr = a(b-r) dt + s dz (Vasicek's term structure model) with R? How? Thanks! /fb -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the