refVARMA: Refining VARMA Estimation
In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
refVARMA R Documentation
Refining VARMA Estimation
Description
Refines a fitted VARMA model by setting insignificant
estimates to zero
Usage
refVARMA(model, thres = 1.5)
Arguments
model
An output object from the command VARMA or the command
refVARMA
thres
A threshold value for individual t-ratio of the estimates.
Details
The program simultaneously sets estimates with t-ratios less
than the threshold (in modulus) to zero.
Value
The same as those of the command VARMA.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 3). Multivariate Time Series Analysis with
R and Financial Applications. John Wiley. Hoboken, NJ.
See Also
VARMA
MTS documentation built on April 11, 2022, 5:07 p.m.
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| refVARMA | R Documentation |
Refining VARMA Estimation
Description
Refines a fitted VARMA model by setting insignificant estimates to zero
Usage
refVARMA(model, thres = 1.5)
Arguments
model |
An output object from the command VARMA or the command refVARMA |
thres |
A threshold value for individual t-ratio of the estimates. |
Details
The program simultaneously sets estimates with t-ratios less than the threshold (in modulus) to zero.
Value
The same as those of the command VARMA.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
See Also
VARMA
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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