SCMmod: Scalar Component Model specification

SCMmodR Documentation

Scalar Component Model specification

Description

For a given set of SCMs and locator of transformation matrix, the program specifies a VARMA model via SCM approach for estimation

Usage

SCMmod(order, Ivor, output)

Arguments

order

A k-by-2 matrix of the orders of SCM

Ivor

A k-dimensional vector indicating the location of "1" for each component in the transformation matrix.

output

A logical switch to control output.

Details

The command specified estimable parameters for a VARMA model via the SCM components. In the output, "2" denotes estimation, "1" denotes fixing the value to 1, and "0" means fixing the parameter to zero.

Value

Tmtx

Specification of the transformation matrix T

ARpar

Specification of the VAR parameters

MApar

Specification of the VMA parameters

Author(s)

Ruey S. Tsay

References

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

Examples

ord=matrix(c(0,1,1,0,0,1),3,2)
Ivor=c(3,1,2)
m1=SCMmod(ord,Ivor,TRUE)

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