Displaying 2 results from an estimated 2 matches for "phi_t".
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phi_1
2008 Sep 10
2
arima and xreg
...write :
arima(y, xreg=U, order=c(3,0,2))
how is y_t calculated? (supposing U has 2 columns, with U[1] being
first column and U[2] second column)
is it
y_t = theta_(t-1)y_t-1 + .... + theta_t-3 y_t-3 + intercept + U[1]_t +
psi[1]_t-1 U[1]_t-1 + psi[1]_t-2 U[1]_t-2 + ....+ psi[2]U[2]_t-2 +
e_t + phi_t-1 e_t-1 + phi_t-2 e_t-2
??
e_t .. etc. are the white noise series of the model.
the documentation is totally vague when it comes to xreg. I hope it is
like above :)
Would appreciate any remarks or comments. Thanks in advance.
Sincerely,
Jose
2008 Sep 10
0
FW: RE: arima and xreg
...>
> how is y_t calculated? (supposing U has 2 columns, with U[1] being
> first column and U[2] second column)
>
> is it
>
> y_t = theta_(t-1)y_t-1 + .... + theta_t-3 y_t-3 + intercept + U[1]_t +
> psi[1]_t-1 U[1]_t-1 + psi[1]_t-2 U[1]_t-2 + ....+ psi[2]U[2]_t-2 +
> e_t + phi_t-1 e_t-1 + phi_t-2 e_t-2
>
> ??
>
> e_t .. etc. are the white noise series of the model.
>
> the documentation is totally vague when it comes to xreg. I hope it is
> like above :)
>
> Would appreciate any remarks or comments. Thanks in advance.
>
> Sincerely,
> Jo...