FPE {bvhar} | R Documentation |
Final Prediction Error Criterion
Description
Compute FPE of VAR(p) and VHAR
Usage
FPE(object, ...)
## S3 method for class 'varlse'
FPE(object, ...)
## S3 method for class 'vharlse'
FPE(object, ...)
Arguments
object |
Model fit |
... |
not used |
Details
Let \tilde{\Sigma}_e
be the MLE
and let \hat{\Sigma}_e
be the unbiased estimator (covmat
) for \Sigma_e
.
Note that
\tilde{\Sigma}_e = \frac{n - k}{T} \hat{\Sigma}_e
Then
FPE(p) = (\frac{n + k}{n - k})^m \det \tilde{\Sigma}_e
Value
FPE value.
References
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.
[Package bvhar version 2.3.0 Index]