Re: FW: Multivariate ARIMA

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Re: FW: Multivariate ARIMA

Paul Gilbert-2
See also package dse.  There are examples in the guide:
http://cran.at.r-project.org/web/packages/dse/vignettes/Guide.pdf

Paul

On 02/14/2016 06:00 AM, [hidden email] wrote:

> Date: Fri, 12 Feb 2016 18:12:37 +0000 From: Thomas
> Lofaro<[hidden email]> To:"[hidden email]"
> <[hidden email]> Subject: [R] FW: Multivariate ARIMA
> Question.... Message-ID:
> <[hidden email]>
>
>  Content-Type: text/plain; charset="UTF-8"
>
> Hi, sorry, I will try to make this short. Essentially, what I am
> trying to do is run a multivariate ARIMA model predicting one
> variable with another.  However, the only R packages I have found to
> accommodate such an analysis are ARIMAX and VAR.  Unfortunately,
> there don?t seem to be any good tutorials or demonstrations of how to
> actually perform this analysis in practice, on my two columns of
> data.  I was wondering if anyone knew of a resource that might help
> (or one that provided an example of r code to accomplish this).
> Thanks sooo much!

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Re: FW: Multivariate ARIMA

Thomas Lofaro
Hi Paul,

Thanks so much for reaching out.  

I read through the link but I am not having any luck.  It seems the first part of the link refers to a single variable ARIMA model with no exogenous variable.  Then the link starts discussing forecasting.

Anyway, I have two columns of data in my matrix (each row represents a new month).  I want column A to predict Column B, where I can adjust the lag to be say 1,2, or 6 months.

Is there any example R code that accomplishes this that you know of?  Apologies for my lack of proficiency in the program.


-----Original Message-----
From: Paul Gilbert [mailto:[hidden email]]
Sent: Monday, February 15, 2016 6:27 PM
To: Thomas Lofaro
Cc: [hidden email]
Subject: Re: [R] FW: Multivariate ARIMA

See also package dse.  There are examples in the guide:
http://cran.at.r-project.org/web/packages/dse/vignettes/Guide.pdf

Paul

On 02/14/2016 06:00 AM, [hidden email] wrote:

> Date: Fri, 12 Feb 2016 18:12:37 +0000 From: Thomas
> Lofaro<[hidden email]> To:"[hidden email]"
> <[hidden email]> Subject: [R] FW: Multivariate ARIMA
> Question.... Message-ID:
> <[hidden email]
> tlook.com>
>
>  Content-Type: text/plain; charset="UTF-8"
>
> Hi, sorry, I will try to make this short. Essentially, what I am
> trying to do is run a multivariate ARIMA model predicting one variable
> with another.  However, the only R packages I have found to
> accommodate such an analysis are ARIMAX and VAR.  Unfortunately, there
> don?t seem to be any good tutorials or demonstrations of how to
> actually perform this analysis in practice, on my two columns of data.  
> I was wondering if anyone knew of a resource that might help (or one
> that provided an example of r code to accomplish this).
> Thanks sooo much!

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
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.