SCMid2: Scalar Component Model Specification II

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Scalar Component Model Specification II

Description

Provides detailed analysis of scalar component models for a specified VARMA model. The overall model is specified by SCMid.

Usage

SCMid2(zt, maxp = 2, maxq = 2, h = 0, crit = 0.05, sseq = NULL)

Arguments

zt	The T-by-k data matrix of a k-dimensional time series
maxp	Maximum AR order specified. Default is 2.
maxq	Maximum MA order specified. Default is 2.
h	The additional past lags used in canonical correlation analysis. Default is zero.
crit	Type-I error used in testing. Default is 0.05.
sseq	The search sequence for SCM components. Default sequence starts with AR order.

Value

Tmatrix	The transformation matrix T
SCMorder	The orders of SCM components

Author(s)

Ruey S. Tsay

References

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

See Also

SCMid

Examples

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=SCMid2(zt)
names(m2)

MTS documentation built on April 11, 2022, 5:07 p.m.