Scalar Component Identification

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Description

Find the overall order of a VARMA process via the scalar component model approach

Usage

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SCMid(zt, maxp = 5, maxq = 5, h = 0, crit = 0.05, output = FALSE)

Arguments

zt

The T-by-k data matrix of a k-dimensional time series

maxp

Maximum AR order entertained. Default is 5.

maxq

Maximum MA order entertained. Default is 5.

h

The additional past lags used in canonical correlation analysis. Default is 0.

crit

Type-I error of the chi-square tests used.

output

A logical switch to control the output.

Value

Nmtx

The table of the numbers of zero canonical correlations

DDmtx

The diagonal difference table of the number of zero canonical correlations

Author(s)

Ruey S. Tsay

References

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

Examples

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phi=matrix(c(0.2,-0.6,0.3,1.1),2,2); sigma=diag(2)
m1=VARMAsim(300,arlags=c(1),phi=phi,sigma=sigma)
zt=m1$series
m2=SCMid(zt)

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