> "Richard" == Richard A Bilonick <[EMAIL PROTECTED]>
> on Wed, 05 Mar 2003 12:01:01 -0500 writes:
Richard> I think I've figured out the use of "filter" in the ts package, at least
Richard> for a simple AR model. I simulated a simple AR time series, modeled it
Richard> us
I think I've figured out the use of "filter" in the ts package, at least
for a simple AR model. I simulated a simple AR time series, modeled it
using "arima", and then used "filter" to compute the 1-step ahead
forecasts:
> y.arma <- arima.sim(list(ar=0.8),n=200)
> y.arma.arima <- arima(y.arma,
I want to forecast a time series Y using a model that includes previous
values of Y and an exogenous time series X using a transfer function.
The standard procedure as described in Box and Jenkins and numerous
other references is to first fit an ARIMA model to X. Use the ARIMA
model to computer
