View source: R/sigex.precision.r
sigex.precision | R Documentation |
Compares signal extraction MSE arising from multivariate fit with the implied univariate fit.
sigex.precision(data.ts, param, mdl, sigcomps)
data.ts |
A T x N matrix ts object |
param |
Model parameters entered into a list object with an intuitive structure. This is an initial specification to start the nonlinear optimization routines |
mdl |
The specified sigex model, a list object |
sigcomps |
Indices of the latent components composing the signal |
ratio of mse to mse.uni, the signal extraction MSE for multivariate and univariate models
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