refVMA: Refining VMA Models

refVMAR 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.