Thank you to all who replied. For our purpose Matt Calder's suggestion
is the most useful.
Best regards,
Vera Friederichs
Matt Calder wrote:
>
> Vera,
> Do you have a recent copy of PEST that comes with the Brockwell and
> Davis book? This can import and export data from most Windows programs, and
> provides a friendly GUI to guide analysis. If you are looking for
> automatic/programmatic solutions, try writing the innovations algorithm in S,
> it
> is pretty straightforward, and would be reasonalbly efficient.
>
> Matt
>
> On Tue, 20 Nov 2001, Vera Friederichs wrote:
>
> > Dear list,
> >
> > I am urgently searching an implementation of the classical innovations
> > algorithm (see, e.g. Brockwell and Davis, Time Series: Theory and
> > Methods) for time series prediction to be used with S-Plus (which
> > unfortunately doesn't have this algorithm
> > implemented). I guess the easiest would be if somebody knew about some
> > C or Fortran code which could be directly linked to S-Plus?
> >
> > Thanks,
> > Vera Friederichs
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