FPE {bvhar} | R Documentation |
Compute FPE of VAR(p) and VHAR
FPE(object, ...)
## S3 method for class 'varlse'
FPE(object, ...)
## S3 method for class 'vharlse'
FPE(object, ...)
object |
Model fit |
... |
not used |
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
FPE value.
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.