Find the FPE of a VAR model
3 ビュー (過去 30 日間)
古いコメントを表示
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
0 件のコメント
回答 (1 件)
参考
カテゴリ
Help Center および File Exchange で Conditional Variance Models についてさらに検索
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!