TB_MA: Checks for a Lag in VMA Process with Tiao-Box Procedure.

In multDM: Multivariate Version of the Diebold-Mariano Test

Checks for a Lag in VMA Process with Tiao-Box Procedure.

Description

This function helps to find a lag in stationary VMA process with Tiao-Box procedure, i.e., the lag length beyond which we are willing to assume that the autocorrelation is essentially zero.

Usage

TB_MA(d,q.max)

Arguments

d	matrix of time-series, assumed to be the stationary VARMA type, columns correspond to time index, and rows to different time-series
q.max	numeric indicating the maximum number of lag to be considered

Details

The function searches for correlations smaller than -2n^{-0.5} or higher than 2n^{-0.5}, where n is the lenght of the time-series.

Value

numeric indicating the found lag length

References

Tiao, G.C., Box, G.E.P. 1981. Modeling multiple times series with applications. Journal of the American Statistical Association 76, 802–816.

Examples

data(MDMforecasts)
ts <- MDMforecasts$ts
forecasts <- MDMforecasts$forecasts
l <- loss(realized=ts,evaluated=forecasts,loss.type="SE")
d <- d_t(l)
TB_MA(d=d,q.max=10)

multDM documentation built on June 9, 2022, 5:06 p.m.