Package dse does do linear, multivariate time series with multivariate
exogenous inputs, using VAR, multivariate ARMA, and state-space models,
just like you are describing. You can specify the model or have it
automatically determined. Perhaps you could give a few more details
about what you are looking for. (I assume you have looked at the dse
Users Guide distributed with the bundle, or some of the help, for
example ?estVARXls, ?bft, and ?forecast. Sections 6 and 7 of the guide
are about the prediction problem, very much like you describe.)
Paul
Giusy wrote:
> Hello to everyone!
> I have a question for you..I need to predict multivariate time series, for
> example sales of 2 products related one to the other, having the 2 prices
> like inputs..
> Is there in R a function to do it? I saw dse package but I didn't find what
> a I'm looking for..
> Could anyone help me?
> Thank you very much
> Giusy
====================================================================================
La version française suit le texte anglais.
------------------------------------------------------------------------------------
This email may contain privileged and/or confidential in...{{dropped:26}}
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
