search for: epsilon1

Hi all, I want to estimate parameters from a VARMA(p,q)-Modell. The equations of the model or the model structures is given by: Xt=beta1+beta2*Xt-1+beta3*Yt-1+epsilon1 Yt=beta4+beta5*Yt-1+espilon2 epsilon1 and espilon2 are white noise. Xt is given by a vector of n elements e.g. (2, 4, 7, 9, …,n)’ and Yt is given by a vector of n elements e.g. (4,9,12,17,…,n)’. The lineVar from tsDyn allows estimating VAR(p)-processes but not VARMA(p,q)-processes and sup...

Does anyone know how to do a fry plot in R? I have 600-800 points per image, and I really don't want to attempt that manually. Thank you! Cassie [[alternative HTML version deleted]]

...the variables in system are all co-integrated, then Rank of A[0] will be different from zero" My understanding is following : suppose, y[t] is of order 3 and p = 1 Then Delta y[t] = A[0]*y[t-1] + epsilon[t] Hence : Delta y1[t] = a[11]*y1[t-1] + a[12]*y1[t-1] +a[13]*y1[t-1] + epsilon1[t] Delta y2[t] = a[12]*y1[t-1] + a[22]*y1[t-1] +a[23]*y1[t-1] + epsilon2[t] Delta y3[t] = a[31]*y1[t-1] + a[32]*y1[t-1] +a[33]*y1[t-1] + epsilon3[t] But is rank of A[0] is 0 then it is possible to find non-zero coef for all of above three equations such that : a[11...