refsVARMA: Refining a Seasonal VARMA Model
In d-/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
d-/MTS documentation built on June 12, 2022, 12:50 a.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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