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MTS

Installation

git clone git://github.com/d-/MTS.git
R CMD build MTS/

This will create a file named "MTS_VERSION.tar.gz".

Then move the file into your working directory in R and type:

install.packages("MTS_VERSION.tar.gz",repos=NULL,type="source")
library(MTS)

Alternatively, a simpler solution is to use the 'devtools' package.

install.packages("devtools")
library(devtools)
install_github('MTS','d-')

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Version

Install

install.packages('MTS')

Monthly Downloads

2,040

Version

0.33

License

Artistic License 2.0

Maintainer

Ruey S Tsay

Last Published

February 12th, 2015

Functions in MTS (0.33)

Multivariate Time Series Diagnostic Checking

Autocovariance Matrices of a VARMA Model

Stock-Watson Diffusion Index Forecasts

Polynomial Matrix Product

MTS Internal Functions

Vector Moving Averge Model (Cpp)

Psi Wights Matrices

Granger Causality Test

Multivariate Ljung-Box Q Statistics

Error-Correction VAR Models

Exponentially Weighted Moving-Average Volatility

Alternative Ploynomial Matrix Product

VARMA Prediction

Multivariate Cholesky Volatility Model

Generating a VARMA Process

Extended Cross-Correlation Matrices

Vector Autoregressive Moving-Average Models

VAR Psi-weights

Constrained Factor Model

Error-Correction VAR Model 1

Multivariate Conditional Heteroscadastic Model Cheking

Forecast Error Variance Decomposition

Monthly simple returns of the stocks of International Business Machines (IBM) and Coca Cola (KO) and the S&P Composite index (SP)

Scalar Component Identification

Refining Error-Correction Model for VAR series

Refining ECM for a VAR process

Kronecker Index Identification

VARX Model Prediction

Partial Missing Value of a VARMA Series

VARMA Model with Missing Value

Difference of multivariate time series

Vector Moving Averge Model

Refining a VAR Model

Common Volatility

Mulivariate t-Copula Volatility Model

Refining a VARX Model

Refining VARMA Estimation via Kronecker Index Approach

Refining a Seasonal VARMA Model

Kronecler Index Specification

Scalar Component Model Fitting

VARX Order Specification

Vector Autoregressive Model

Pi Weight Matrices

Back-Test of a Transfer Function Model with Two Input Variables

VMA Model with Selected Lags

Refining Estimation of VARMA Model via SCM Approch

Refining VMA Models

Vector Autoregressive Moving-Average Models (Cpp)

Bayesian Vector Autoregression

Dynamic Cross-Correlation Model Fitting

Quarterly real gross domestic products of United Kingdom, Canada, and the United States

Seasonal VARMA Model Estimation

Multivariate Time Series Plot

VMA Estimation with Exact likelihood

Refining VARMA Estimation

Square Root Matrix

Monthly simple returns of ten U.S. stocks

VAR Model with Exogenous Variables

Refining a Regression Model with Time Series Errors

Fitting a VARMA Model via Kronecker Index

Recursive Least Squares

Multivariate Linear Model

VAR order specification I

Half-Stacking Vector of a Symmetrix Matrix

Multivariate ARCH test

Refining VMA Estimation via the Exact Likelihood Method

Transfer Function Model with Two Input Variables

Transfer Function Model

Cross-Correlation Matrices

VMA Order Specification

Sample Constrained Correlations

Transfer Function Model with One Input

VAR Model with Selected Lags

Impulse Response Functions of a VARMA Model

VAR Order Specification

Asymptotic Principal Component Analysis

Multivariate Time Series

Scalar Component Model specification

ARCH test for univariate time series

Regression Model with Time Series Errors

Scalar Component Model Specification II

Seasonal VARMA Model Estimation (Cpp)

Matrix constructed from output of the Vech Command. In other words, restore the original symmetric matrix from its half-stacking vector.

Preliminary Fitting of DCC Models