refsVARMA: Refining a Seasonal VARMA Model

Description Usage Arguments Details Value Author(s) References See Also

Description

Refines a fitted seasonal VARMA model by setting insignificant estimates to zero

Usage

1
refsVARMA(model, thres = 0.8)

Arguments

model

An output object of the sVARMA command or the refsVARMA command

thres

Threshold for individual t-ratio. Default is 0.8.

Details

The command removes simultaneously all parameters with t-ratio less than the threshold in modulus.

Value

The same as those of the command sVARMA

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 6)

See Also

sVARMA



MTS documentation built on May 19, 2017, 2:35 p.m.
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