Description Usage Arguments Value Author(s) References See Also

Perform estimation of a VARMA model specified by the Kronecker indices

1 2 |

`da` |
Data matrix (T-by-k) of a k-dimensional time series |

`kidx` |
The vector consisting of Kronecker indices |

`include.mean` |
A logical switch for including the mean vector in estimation. Default is to include the mean vector. |

`fixed` |
A logical matrix used to set zero parameter constraints. This is used mainly in the command refKronfit. |

`Kpar` |
Parameter vectors for use in model simplification |

`seKpar` |
Standard errors of the parameter estimates for use in model simplification |

`prelim` |
A lofical switch for a preliminary estimation. |

`details` |
A logical switch to control output. |

`thres` |
A threshold for t-ratios in setting parameter to zero. Default is 1. |

`data` |
The observed time series data |

`Kindex` |
Kronecker indicies |

`ARid` |
Specification of AR parameters: 0 denotes fixing to zero, 1 denotes fixing to 1, and 2 denoting estimation |

`MAid` |
Specification of MA parameters |

`cnst` |
A logical variable: include.mean |

`coef` |
Parameter estimates |

`se.coef` |
Standard errors of the estimates |

`residuals` |
Residual series |

`Sigma` |
Residual covariance matrix |

`aic,bic` |
Information criteria of the fitted model |

`Ph0` |
Constant vector |

`Phi` |
AR coefficient matrices |

`Theta` |
MA coefficient matrices |

Ruey S. Tsay

Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

refKronfit, Kronspec

MTS documentation built on May 19, 2017, 2:35 p.m.

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