arch.bootstrap.SPA.better_models

SPA.better_models(pvalue=0.05, pvalue_type='consistent')[source]

Returns set of models rejected as being equal-or-worse than the benchmark

Parameters
  • pvalue (float, optional) – P-value in (0,1) to use when computing superior models

  • pvalue_type (str, optional) – String in ‘lower’, ‘consistent’, or ‘upper’ indicating which critical value to use.

Returns

indices – List of column names or indices of the superior models. Column names are returned if models is a DataFrame.

Return type

list

Notes

List of superior models returned is always with respect to the initial set of models, even when using subset().