fnets (version 0.1.6)

threshold: Threshold the entries of the input matrix at a data-driven level

Description

Threshold the entries of the input matrix at a data-driven level. This can be used to perform edge selection for VAR parameter, inverse innovation covariance, and long-run partial correlation networks.

Usage

threshold(mat, path.length = 500)

Value

an S3 object of class threshold, which contains the following fields:

threshold

data-driven threshold

thr.mat

thresholded input matrix

Arguments

mat

input parameter matrix

path.length

number of candidate thresholds

Details

See Owens, Cho & Barigozzi (2024+) for more information on the threshold selection process

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

plot.threshold, print.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)
}