# Select the lag of the VAR model using total BIC method Select the lag of the VAR model (if the lag is unknown) using BIC method for total segments ```r lag_selection( data, method = c("sparse", "group sparse", "fLS"), group.case = c("columnwise", "rowwise"), group.index = NULL, lambda.1.cv = NULL, lambda.2.cv = NULL, mu = NULL, block.size = NULL, blocks = NULL, use.BIC = TRUE, an.grid = NULL, threshold = NULL, lag_candidates, verbose = FALSE ) ``` ## Arguments - `data`: input data matrix, each column represents the time series component - `method`: method is sparse, group sparse and fixed lowrank plus sparse - `group.case`: two different types of group sparse, column-wise and row-wise, respectively. - `group.index`: specify group sparse index. Default is NULL. - `lambda.1.cv`: tuning parameter lambda_1 for fused lasso - `lambda.2.cv`: tuning parameter lambda_2 for fused lasso - `mu`: tuning parameter for low rank component, only available when method is set to "fLS". - `block.size`: the block size - `blocks`: the blocks - `use.BIC`: use BIC for k-means part - `an.grid`: a vector of an for grid searching. - `threshold`: a numeric argument, give the threshold for estimated model parameter matrices. Default is NULL. - `lag_candidates`: potential lag selection set - `verbose`: A Boolean argument, if TRUE, it provides detailed information. Default is FALSE ## Returns selected lag for VAR series - **select_lag**: An integer no less than 1 represents the selected lag of time series. ## Examples ```r nob <- 1000; p <- 15 brk <- c(floor(nob / 2), nob + 1) m <- length(brk) q.t <- 2 # the lag of VAR model for simulation signals <- c(-0.8, 0.6, 0.4) try <- simu_var(method = "sparse", nob = nob, k = p, brk = brk, signals = signals, lags_vector = c(1, 2), sp_pattern = "off-diagonal") data <- try$series; data <- as.matrix(data) # Apply lag selection to determine the lag for the given time series lag_candi <- c(1, 2, 3, 4) select_lag <- lag_selection(data = data, method = "sparse", lag_candidates = lag_candi) print(select_lag) ```

lag_selection function