rvi function

Extracts Relative Variable Importances from fDMA Model.

This functions extracts posterior inclusion probabilities for independent variables from dma object.

rvi(dma.object)

Arguments

• dma.object: dma object

Returns

matrix of posterior inclusion probabilities for independent variables

Examples

wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- drivers[-1,]
ld.drivers[,c(4,6)] <- (diff(drivers[,c(4,6)]))[-1,]
ld.drivers[,c(1:2,5,7)] <- (diff(log(drivers[,c(1:2,5,7)])))[-1,]
ld.drivers[,c(3,6)] <- ld.drivers[,c(3,6)]/100
m1 <- fDMA(y=ld.wti,x=ld.drivers,alpha=0.99,lambda=0.90,initvar=10)
r <- rvi(m1)