MTS: SCMid2 – R documentation

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SCMid2

Scalar Component Model Specification II

Provides detailed analysis of scalar component models for a specified VARMA model. The overall model is specified by SCMid.

SCMid2(zt, maxp = 2, maxq = 2, h = 0, crit = 0.05, sseq = NULL)

`zt`	The T-by-k data matrix of a k-dimensional time series
`maxp`	Maximum AR order specified. Default is 2.
`maxq`	Maximum MA order specified. Default is 2.
`h`	The additional past lags used in canonical correlation analysis. Default is zero.
`crit`	Type-I error used in testing. Default is 0.05.
`sseq`	The search sequence for SCM components. Default sequence starts with AR order.

`Tmatrix`	The transformation matrix T
`SCMorder`	The orders of SCM components

Ruey S. Tsay

Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

phi=matrix(c(0.2,-0.6,0.3,1.1),2,2); sigma=diag(2)
m1=VARMAsim(300,arlags=c(1),phi=phi,sigma=sigma)
zt=m1$series
m2=SCMid2(zt)
names(m2)

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8