--------------EFE133AF62AB26B92A0ED9F2
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
I am looking for a good software that has the multivariate time series
capabilities. Things such as multivariate ARMA, ARMAX: state space
model, tranfer function modeling, ...etc. I have tried to use ASTSA, a
freeware, but was much less tha satisfied. I am trying to use
spacestate function within SAS/ETS package and am not sure if it will
have what I want either (it only deals with square matrix).
The problem briefly for those interested:
Given, m time series of independent variables and n time series of
dependent variable, I would like to predict the dependent variable at
time step t+1 based on linear contributions from the n independent
variables and m dependent variables over several lags in the past.
Thanks
aa
--------------EFE133AF62AB26B92A0ED9F2
Content-Type: text/html; charset=us-ascii
Content-Transfer-Encoding: 7bit
<!doctype html public "-//w3c//dtd html 4.0 transitional//en">
<html>
I am looking for a good software that has the multivariate time series
capabilities. Things such as multivariate ARMA, ARMAX: state
space model, tranfer function modeling, ...etc. I have tried to use
ASTSA, a freeware, but was much less tha satisfied. I am trying to
use spacestate function within SAS/ETS package and am not sure if it will
have what I want either (it only deals with square matrix).
<p>The problem briefly for those interested:
<p>Given, <b>m</b> time series of independent variables and <b>n</b> time
series of dependent variable, I would like to predict the dependent variable
at time step t+1 based on linear contributions from the n independent variables
and m dependent variables over several lags in the past.
<br>
<p>Thanks
<br>aa</html>
--------------EFE133AF62AB26B92A0ED9F2--
=================================================================
Instructions for joining and leaving this list and remarks about
the problem of INAPPROPRIATE MESSAGES are available at
http://jse.stat.ncsu.edu/
=================================================================
