FPE.varlse {bvhar} | R Documentation |
Final Prediction Error Criterion of Multivariate Time Series Model
Description
Compute FPE of VAR(p), VHAR, BVAR(p), and BVHAR
Usage
## S3 method for class 'varlse'
FPE(object, ...)
## S3 method for class 'vharlse'
FPE(object, ...)
Arguments
object |
Model fit |
... |
not used |
Details
Let be the MLE
and let
be the unbiased estimator (
covmat
) for .
Note that
Then
Value
FPE value.
References
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.
[Package bvhar version 2.0.1 Index]