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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

3,305

Version

1.0

License

Artistic License 2.0

Maintainer

Ruey S Tsay

Last Published

October 10th, 2018

Functions in MTS (1.0)

Exponentially Weighted Moving-Average Volatility

Granger Causality Test

Prediction of a fitted VARMA model via Kronfit, using Kronecker indices

Pi Weight Matrices

Multivariate Cholesky Volatility Model

Extended Cross-Correlation Matrices

Multivariate Conditional Heteroscedastic Model Checking

Alternative Polynomial Matrix Product

Scalar Component Model Specification II

Polynomial Matrix Product

Psi Wights Matrices

Multivariate Time Series Diagnostic Checking

Multivariate Time Series

MTS Internal Functions

Scalar Component Model specification

Preliminary Fitting of DCC Models

Scalar Component Model Fitting

Scalar Component Identification

VARMA Prediction

Kronecler Index Specification

Regression Model with Time Series Errors

Difference of multivariate time series

Seasonal VARMA Model Estimation

Refining a Seasonal VARMA Model

Prediction of a fitted regression model with time series errors

Generating a VARMA Process

VARMA Model with Missing Value

Multivariate Time Series Plot

Multivariate ARCH test

Partial Missing Value of a VARMA Series

Backtesting of a scalar ARIMA model

Sample Constrained Correlations

Cross-Correlation Matrices

Recursive Least Squares

Vector Autoregressive Moving-Average Models

Multivariate Linear Model

VAR Model with Exogenous Variables

Stock-Watson Diffusion Index Forecasts

Vector Autoregressive Moving-Average Models (Cpp)

Vector Autoregressive Model

VARX Order Specification

VARX Model Prediction

Multivariate t-Copula Volatility Model

Vector Moving Average Model

VAR Model with Selected Lags

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

VAR Order Specification

Vector Moving Average Model (Cpp)

Impluse response function of a fitted VARX model

VAR order specification I

Refining VARMA Estimation

Half-Stacking Vector of a Symmetric Matrix

Refining a VARX Model

VMA Estimation with Exact likelihood

Bayesian Vector Autoregression

Common Volatility

Refining Estimation of VARMA Model via SCM Approach

Refining a VAR Model

Autocovariance Matrices of a VARMA Model

Impulse Response Functions of a VARMA Model

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

VAR Psi-weights

VMA Order Specification

Dynamic Cross-Correlation Model Fitting

Asymptotic Principal Component Analysis

VMA Model with Selected Lags

Multivariate Ljung-Box Q Statistics

Square Root Matrix

Prediction of a fitted multiplicative seasonal VARMA model

Seasonal VARMA Model Estimation (Cpp)

ARCH test for univariate time series

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

Constrained Factor Model

Refining VARMA Estimation via Kronecker Index Approach

Refining Error-Correction Model for VAR series

Refining ECM for a VAR process

Monthly simple returns of ten U.S. stocks

Refining a Regression Model with Time Series Errors

Refining VMA Models

Refining VMA Estimation via the Exact Likelihood Method

Transfer Function Model with One Input

Transfer Function Model

Transfer Function Model with Two Input Variables

Compute the Corner table for transfer function model specification

Forecast Error Variance Decomposition

Error-Correction VAR Model 1

Error-Correction VAR Models

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

Fitting a VARMA Model via Kronecker Index

Kronecker Index Identification