refVMA {MTS} | R Documentation |
Refining VMA Models
Description
Refines a fitted VMA model by setting insignificant parameters to zero
Usage
refVMA(model, thres = 1)
Arguments
model |
An output object from the command VMA or the refVMA command |
thres |
A threshold for individual t-ratio of parameter estimate. Default is 1. |
Details
The program simultaneously sets all estimates with t-ratios less than the threshold (in modulus) to zero.
Value
The same as those of the command VMA.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
See Also
VMA
[Package MTS version 1.2.1 Index]