VARMA-modeling

Supplementary material for the chapter "Vector Autoregressive Moving Average Models" in Vol 41 of Handbook of Statistics

• tools.R contains the R code for some utility functions.
• prCoin_Quarterly.txt is a data set used for the demonstration examples. The data set contains three quarterly time series series from the ”FRED (Federal Reserve Economic Data)” database (https://fred.stlouisfed.org): Real Disposable Personal Income, Real Gross Private Domestic Investment and PCECC96 Real Personal Consumption Expenditures. See also the file prCoin_REDME.txt for more details.
• Rdemonstration.Rmd contains all the demonstration examples of the paper (Rdemonstartion.pdf, Rdemonstration.tex are the outputs). This file also provides a cursory overview of time series modeling with VARMA models and state space models and some documentation for the utility functions in tools.R.