Estimated variance-covariance matrix from time series

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Description

Selects an optimal ARMA model (according to an information criteria) for the time series in the data vector, x; then, fits such model and analyses the corresponding residuals. If the ARMA model is suitable, returns the n x n variance-covariance matrix corresponding to n consecutive variables in the ARMA process. If the ARMA model is not suitable, it informs the user with a message.

Usage

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var.cov.matrix(x = 1:100, n = 4, p.max = 3, q.max = 3, ic = "BIC",  p.arima=NULL, 
q.arima=NULL, alpha = 0.05, num.lb = 10)

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