sigex.signalcheck: Computes model-based signal extraction diagnostics

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Computes model-based signal extraction diagnostics

Description

Computes model-based signal extraction diagnostics

Usage

sigex.signalcheck(signal, param, mdl, sigcomps, lagall)

Arguments

signal	A T x N matrix ts object of the extracted signal
param	model parameters entered into a list object with an intuitive structure.
mdl	The specified sigex model, a list object
sigcomps	Indices of the latent components composing the signal
lagall	Each signal diagnostic has a lag argument. They are all computed, from lags one through lagall

Value

diagnostics: Complex matrix with lagall rows and N columns, one column for each series. The real part is the diagnostic value, given by sample autocorrelation at various lags of the estimated signal. The imaginary part is the t statistic of the diagnostic: statistic minus null mean, divided by standard error.

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