residualStats: Calculate Residuals Statistics and Likelihood

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Calculate the residuals statistics and likelihood of a residual.

Usage

    residualStats(pred, data, sampleT=nrow(pred), warn=TRUE)

Arguments

pred	A matrix with columns representing time series.
data	A matrix with columns representing time series.
sampleT	An integer indicating the sample to use.
warn	If FALSE certain warnings are suppressed.

Details

Residuals are calculated as pred[1:sampleT,,drop=FALSE] - data[1:sampleT,,drop=FALSE] and then statistics are calculated based on these residuals. If pred or data are NULL they are treated as zero.

Value

A list with elements like, cov, pred, and sampleT. pred and sampleT are as supplied (and are returned as this is a utility function called by other functions and it is convenient to pass them along). cov is the covariance of the residual and like is a vector of four elements representing the total, constant, determinant and covariance terms of the negative log likelihood function.

See Also

l

Examples

    residualStats(matrix(rnorm(200), 100,2), NULL) # but typically used for a residual

dse documentation built on March 4, 2020, 3:01 a.m.