The parameter identification in the VARIMA function takes only the values "none" or "kronecker_indices". If I set identification == "scalar_components", I get an error suggesting I should pick the above options.
However, if I read the code in VARIMA.R (function train_varima, line 31), I read
} else if (identification == "scalar_components") {
with(
MTS::SCMid2(yd, max(p), max(q)),
MTS::SCMfit(
yd,
SCMorder, Tmatrix,
include.mean = "(Intercept)" %in% colnames(specials$xreg[[1]])
)
)
}
which is the code to estimate the scalar components VARIMA.
Can you fix this and allow for the scalar-components estimation?