[R] Estimation of transfer function time series models

Paul Gilbert pgilbert at bank-banque-canada.ca
Wed Oct 30 23:45:54 CET 2002

Susana Barbosa wrote:
> Hi,
> Is there a function in R to estimate transfer function time series models?
> Thanks in advance
> Susana Barbosa

Transfer function models are very similar to ARMA models. The AR and MA parts
are the denominator and numerator of the transfer function. I tend to think of
these models as the same, with a different emphasis in the terminology. With
transfer functions, one typically thinks of the input as a control (and often
ignores any random inputs). ARMA models typically have random (noise) input and
are called ARMAX if there is a control input (exogenous) in addition to the

There are a few functions on CRAN for ARMA models. See arima in the ts package
or for multivariate models consider various methods in the dse bundle.

Paul Gilbert
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