refVMA: Refining VMA Models
In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
refVMA R Documentation
Refining VMA Models
Description
Refines a fitted VMA model by setting insignificant parameters to zero
Usage
refVMA(model, thres = 1)
Arguments
model
An output object from the command VMA or the refVMA command
thres
A threshold for individual t-ratio of parameter estimate.
Default is 1.
Details
The program simultaneously sets all estimates with t-ratios
less than the threshold (in modulus) to zero.
Value
The same as those of the command VMA.
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
VMA
MTS documentation built on April 11, 2022, 5:07 p.m.
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.
| refVMA | R Documentation |
Refining VMA Models
Description
Refines a fitted VMA model by setting insignificant parameters to zero
Usage
refVMA(model, thres = 1)
Arguments
model |
An output object from the command VMA or the refVMA command |
thres |
A threshold for individual t-ratio of parameter estimate. Default is 1. |
Details
The program simultaneously sets all estimates with t-ratios less than the threshold (in modulus) to zero.
Value
The same as those of the command VMA.
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
VMA
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.