sigex.reduce: Determine a reduced rank model from a given fitted model

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Determine a reduced rank model from a given fitted model

Description

Determine a reduced rank model from a given fitted model

Usage

sigex.reduce(data.ts, param, mdl, thresh, modelflag)

Arguments

data.ts	A T x N matrix ts object
param	Model parameters entered into a list object with an intuitive structure.
mdl	The specified sigex model, a list object
thresh	Lower bound on Schur complements
modelflag	When TRUE, small Schur complements imply rank reduction in the new model. When modelFlag is FALSE, small Schur complements are replaced by exp(thresh)

Value

list of mdl.red and par.red mdl.red: the new sigex model, a list object par.red: the new param for the new model

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.