Displaying 3 results from an estimated 3 matches for "estmaxlik".
2011 Nov 22
1
Varma models in the dse package
...e package. I specified a model:
> arma
A(L) =
1+0.244L1 0+0.05L1
0-0.325L1 1-0.234L1
B(L) =
1-0.277L1 0+0.211L1
0-0.206L1 1+0.238L1
and have a TSdata object:
> dfdata
output data:
Series 1 Series 2
1 "difex2" "difem2"
but I get this warning message:
> estMaxLik(arma, dfdata)
Error in l.ARMA(setArrays(Shape, coefficients = coefficients), data, result
= "like", :
NA/NaN/Inf in foreign function call (arg 14)
In addition: Warning message:
In l.ARMA(setArrays(Shape, coefficients = coefficients), data, result =
"like", :
NAs introduced...
2004 Jul 25
1
Multivariate ARMA Model
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, or even better determine the orders and
estimate the parameters?
Much thanks in advance,
Hagen
2007 Mar 15
1
vars :VARMA, multivariate time series?
I have a multivariate time series and I would like to build a forecasting
model with both AR and MA terms, I think that this is possible in R. I have
looked at the vars package and it looks like it is possible to estimate MA
terms using the Phi and Psi functions but I am not sure how to incorporate
the estimated terms into a forecasting model. I have also looked at the dse
package, but have not