refsVARMA {MTS} | R Documentation |
Refining a Seasonal VARMA Model
Description
Refines a fitted seasonal VARMA model by setting insignificant estimates to zero
Usage
refsVARMA(model, thres = 0.8)
Arguments
model |
An output object of the sVARMA command or the refsVARMA command |
thres |
Threshold for individual t-ratio. Default is 0.8. |
Details
The command removes simultaneously all parameters with t-ratio less than the threshold in modulus.
Value
The same as those of the command sVARMA
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 6)
See Also
sVARMA
[Package MTS version 1.2.1 Index]