signifparam {weakARMA}

Computes the parameters significance

Description

Computes a matrix with estimated coefficient and their significance.

Usage

signifparam(
  ar = NULL,
  ma = NULL,
  p = NULL,
  q = NULL,
  y,
  sd.strong = NULL,
  sd.weak = NULL,
  meanparam = TRUE,
  mu = NULL
)

Arguments

ar

Vector of AR coefficients, if NULL, MA process.

ma

Vector of MA coefficients, if NULL, AR process.

p

Order of AR, if NULL MA process.

q

Order of MA, if NULL AR process.

y

Univariate time series.

sd.strong

Standard error of time series in the strong case computed in omega, if not provided the function will compute it.

sd.weak

Standard error of time series in the weak case computed in omega, if not provided the function will compute it.

meanparam

If \mu of the time series needs to be computed.

mu

Value of \mu, if it is known and if the meanparam is TRUE. If not known the function will compute it.

Details

The function needs at least one pair between: ar and/or ma, or p and/or q to be executed. It will be faster with all the parameters provided.

Value

Matrix of the estimate coefficient with their significance.

coef

Estimation of each coefficient.

sd

Standard deviation in each case.

t-ratio

T-ratio corresponding to each coefficient.

signif

Significance of each parameter. Must be small, if not the parameter is not significant.

Examples

signifparam(p = 1, q = 2, y = CAC40return.sq) #The last parameter is not significant.
signifparam(p = 1, q = 1, y = CAC40return.sq) #All the parameters are significant.