hi: you should probably send below to R-Sig-Finance because there are
some econometrics people over there who could also possibly give you
a good answer and may not see this email ? Also, there's package called
mar ( I think that's the name ) that may do what you want ?
Finally, I don't know how to do it but I think there are ways of
converting a multivariate arima into the equivalent state space form and
then you could estimate it that way using dse, dlm etc but that's as far
as i'll go there because the univariate conversion case is complicated
enough and i've never considered the multivariate case. good luck.
On Wed, Sep 10, 2008 at 10:36 AM, Jose Capco wrote:
Dear R-help-archive..
I am trying to figure out how to make arima prediction when I have a
process involving multivariate time series input, and one output time
series (output is to be predicted) .. (thus strictly speaking its an
ARMAX process). I know that the arima function of R was not designed
to handle multivariate analysis (there is dse but it doesnt handle
arma multivariate analysis, only simulations). But there is this
beautiful "xreg" as parameter for arima and I was wondering..
for the case of one output series I can actually "trick" R in doing
multivariate time series for me no?.. because I saw in the
documentation, xreg can be inputed as a ---matrix--- with output.len
(length of output data) number of rows.. So in fact I can let the
different columns of xreg to actually be the different input time
series I need!
Is anyone familiar in how arima with xreg as given estimate models? ..
how is the model assumed?
supposing I 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
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