refSCMfit: Refining Estimation of VARMA Model via SCM Approach
In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
refSCMfit R Documentation
Refining Estimation of VARMA Model via SCM Approach
Description
Refine estimation of a VARMA model specified via the SCM
approach by removing insignificant parameters
Usage
refSCMfit(model, thres = 1)
Arguments
model
Name of the model from the SCMfit command or the refSCMfit command
thres
Threshold for the t-ratio of individual coefficient.
Default is 1.
Value
The same as those of the command SCMfit.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 4)
See Also
SCMfit
d-/MTS documentation built on June 12, 2022, 12:50 a.m.
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| refSCMfit | R Documentation |
Refining Estimation of VARMA Model via SCM Approach
Description
Refine estimation of a VARMA model specified via the SCM approach by removing insignificant parameters
Usage
refSCMfit(model, thres = 1)
Arguments
model |
Name of the model from the SCMfit command or the refSCMfit command |
thres |
Threshold for the t-ratio of individual coefficient. Default is 1. |
Value
The same as those of the command SCMfit.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 4)
See Also
SCMfit
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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