Hello,
Does anyone know how the parameter estimates are calculated for xreg
variables when called as part of an arima() command, or know of any
literature that provides this info? In particular, I was wondering if there
is a quick way to compare different combinations of "xreg" variables in the
The help file states: "The exact likelihood is computed via a state-space
representation of the ARIMA process, and the innovations and their variance
found by a Kalman filter." It is possible to include exogenous variables
(xreg) this way, but one can only assume this is done [only one person kn
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