refsVARMA: Refining a Seasonal VARMA Model
In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
refsVARMA R Documentation
Refining a Seasonal VARMA Model
Description
Refines a fitted seasonal VARMA model by setting insignificant
estimates to zero
Usage
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 April 11, 2022, 5:07 p.m.
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| refsVARMA | R Documentation |
Refining a Seasonal VARMA Model
Description
Refines a fitted seasonal VARMA model by setting insignificant estimates to zero
Usage
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
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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