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]