refVMAe {MTS} | R Documentation |
Refining VMA Estimation via the Exact Likelihood Method
Description
Refines a fitted VMA model via the VMAe command by setting insignificant parameters to zero
Usage
refVMAe(model, thres = 1)
Arguments
model |
An output object of the command VMAe or the command refVMAe itself |
thres |
A threshold for individual t-ratio of parameter estimates. Default is 1. |
Details
The program sets simultaneously all estimates with t-ratios less than the threshold (in modulus) to zero.
Value
The same as those of the command VMAe.
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
VMAe, refVMA
[Package MTS version 1.2.1 Index]