freqdom (version 1.0.4)

reglag.significance: Test significance of coefficients in linear model estimator

Description

Check significance of estimated coefficents in speclagreg estimator

Usage

reglag.significance(X, Y, A, alpha = 0.05, plot = FALSE, ...)

Arguments

X

first multivariate time series

Y

second multivariate time series

A

estimated operators

alpha

significance level

plot

plot the results

...

arguments passed to plot function

Value

list with a quantile and test statistics for each lag

Examples

# NOT RUN {
n = 200
d = 5
X = rar(n,d=d,Psi=matrix(0,d,d))  			# independent d-dim variables
w = 0.4
Y = w*X + (1-w)*rar(n,d=d,Psi=matrix(0,d,d))	# independent d-dim variables
A = speclagreg(X, Y, lags=-2:2)
W = reglag.significance(X, Y, A, alpha = 0.05)
# }