refSCMfit: Refining Estimation of VARMA Model via SCM Approach
In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
refSCMfit R Documentation
Refining Estimation of VARMA Model via SCM Approach
Description
Refine estimation of a VARMA model specified via the SCM
approach by removing insignificant parameters
Usage
refSCMfit(model, thres = 1)
Arguments
model
Name of the model from the SCMfit command or the refSCMfit command
thres
Threshold for the t-ratio of individual coefficient.
Default is 1.
Value
The same as those of the command SCMfit.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 4)
See Also
SCMfit
MTS documentation built on April 11, 2022, 5:07 p.m.
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| refSCMfit | R Documentation |
Refining Estimation of VARMA Model via SCM Approach
Description
Refine estimation of a VARMA model specified via the SCM approach by removing insignificant parameters
Usage
refSCMfit(model, thres = 1)
Arguments
model |
Name of the model from the SCMfit command or the refSCMfit command |
thres |
Threshold for the t-ratio of individual coefficient. Default is 1. |
Value
The same as those of the command SCMfit.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 4)
See Also
SCMfit
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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