fnets (version 0.1.6)

plot.threshold: Plotting the thresholding procedure

Description

Plotting method for S3 objects of class threshold. Produces a plot visualising three diagnostics for the thresholding procedure, with threshold values t_k (x axis) against (i) Ratio_k, the ratio of the number of non-zero to zero entries in the matrix, as the threshold varies (ii) Diff_k, the first difference of Ratio_k (iii) |CUSUM_k|, the absolute scaled cumulative sums of Diff_k

Usage

# S3 method for threshold
plot(x, plots = c(TRUE, FALSE, TRUE), ...)

Value

A network plot produced as per the input arguments

Arguments

x

threshold object

plots

logical vector, which plots to use (Ratio, Diff, CUSUM respectively)

...

additional arguments

Details

See Owens, Cho and Barigozzi (2024+) for further details.

References

Owens, D., Cho, H. & Barigozzi, M. (2024+) fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling. The R Journal (to appear).

See Also

threshold

Examples

if (FALSE) {
library(fnets)
out <- fnets(data.unrestricted,
   var.args = list(n.cores = 2)
)
# Granger-causal network
th1 <- threshold(out$idio.var$beta)
plot(th1)
print(th1)
# Partial correlations
th2 <- threshold(out$lrpc$pc)
# Long-run partial correlations
th3 <- threshold(out$lrpc$lrpc)
}