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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