フィルターのクリア

Find the FPE of a VAR model

4 ビュー (過去 30 日間)
Nic Whitman
Nic Whitman 2021 年 3 月 26 日
編集済み: Nic Whitman 2021 年 4 月 3 日
I am trying to find the optimal lag of a VAR model using the FPE. I am using the varm() command which creates a '1x1 varm' object as output. I am able to extract both the AIC and BIC from this object, but it does not calculate the FPE. Is there a way to find the FPE for an object that doesn't automatically calculate it?
EDIT: THIS IS NOT POSSIBLE. YOU CAN CODE YOUR OWN FPE USING THE COVARIANCE MATRIX PRODUCED BY ESTIMATE OF A VARM OBJECT

回答 (1 件)

Mahesh Taparia
Mahesh Taparia 2021 年 3 月 31 日
Hi
You can refer to the 'varm'object functions here. Use 'estimate' method to fit a model to data and 'summarize' to display the estimated result, which will display the error as well. You can have a look at an example here.
  1 件のコメント
Nic Whitman
Nic Whitman 2021 年 4 月 3 日
The estimate function does not produce the FPE. I figured out how to code it myself.

サインインしてコメントする。

カテゴリ

Help Center および File ExchangeConditional Variance Models についてさらに検索

タグ

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by