ARIMA(1, 1, 0) model in INLA?

[jeffre...@imperial.ac.uk]

Dear list,

Is it possible to estimate an ARIMA(1, 1, 0) -- AR(1) model on first order differences -- in INLA?  

I note an earlier discussion board question about ARIMA models that MA terms are not implemented, but I haven't found mention on the list or in documentation about difference terms.

Thanks,

Jeff

[Helpdesk]

Hi,

its not implemented as now. its easy to add it using the 'rgeneric'
framework though, if you're interested.

ARMA(p,q) models are not there, but AR(p) is there. with *MA(q) added,
one can use an augmented model to make it Markov. but the same comment
as above apply...

Best
H

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Håvard Rue
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