reglag.significance: Test significance of coefficients in linear model estimator

In freqdom: Frequency Domain Analysis for Multivariate Time Series

Description

Check significance of estimated coefficents in speclagreg estimator

Usage

reglag.significance(X, Y, A, alpha = 0.05, plot = FALSE, ...)

Arguments

X	first multivariate time series
Y	second multivariate time series
A	estimated operators
alpha	significance level
plot	plot the results
...	arguments passed to plot function

Value

list with a quantile and test statistics for each lag

Examples

n = 200
d = 5
X = rar(n,d=d,Psi=matrix(0,d,d))  			# independent d-dim variables
w = 0.4
Y = w*X + (1-w)*rar(n,d=d,Psi=matrix(0,d,d))	# independent d-dim variables
A = speclagreg(X, Y, lags=-2:2)
W = reglag.significance(X, Y, A, alpha = 0.05)

freqdom documentation built on May 2, 2019, 5:55 p.m.