signifparam | R Documentation |
Computes a matrix with estimated coefficient and their significance.
signifparam( ar = NULL, ma = NULL, p = NULL, q = NULL, y, sd.strong = NULL, sd.weak = NULL, meanparam = TRUE, mu = NULL )
ar |
Vector of AR coefficients, if |
ma |
Vector of MA coefficients, if |
p |
Order of AR, if |
q |
Order of MA, if |
y |
Univariate time series. |
sd.strong |
Standard error of time series in the strong case computed in |
sd.weak |
Standard error of time series in the weak case computed in |
meanparam |
If μ of the time series needs to be computed. |
mu |
Value of μ, if it is known and if the |
The function needs at least one pair between: ar and/or ma, or p and/or q to be executed. It will be faster with all the parameters provided.
Matrix of the estimate coefficient with their significance.
coef
Estimation of each coefficient.
sd
Standard deviation in each case.
t-ratio
T-ratio corresponding to each coefficient.
signif
Significance of each parameter. Must be small, if not the parameter is not significant.
signifparam(p = 1, q = 2, y = CAC40return.sq) #The last parameter is not significant. signifparam(p = 1, q = 1, y = CAC40return.sq) #All the parameters are significant.
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