computeResiduals {VARcpDetectOnline}R Documentation

Compute VAR Model Residuals

Description

Computes the residuals from a VAR model by subtracting the fitted values (obtained from the estimated coefficient matrices) from the original time series data.

Usage

computeResiduals(data, A)

Arguments

data

A numeric matrix of the original time series (observations in rows).

A

List. A list of VAR coefficient matrices (one for each lag).

Value

A numeric matrix of residuals.


[Package VARcpDetectOnline version 0.2.0 Index]