SCMmod: Scalar Component Model specification

Description Usage Arguments Details Value Author(s) References Examples

Description

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

Usage

1
SCMmod(order, Ivor, output)

Arguments

order

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

Ivor

A k-dimensioal 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

1
2
3
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 May 19, 2017, 2:35 p.m.
Search within the MTS package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.