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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

2,454

Version

1.0.3

License

Artistic License 2.0

Maintainer

Ruey S Tsay

Last Published

June 4th, 2021

Functions in MTS (1.0.3)

Error-Correction VAR Model 1

Granger Causality Test

Extended Cross-Correlation Matrices

Compute the Corner table for transfer function model specification

Error-Correction VAR Models

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

Exponentially Weighted Moving-Average Volatility

Forecast Error Variance Decomposition

Fitting a VARMA Model via Kronecker Index

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

Multivariate Cholesky Volatility Model

Multivariate Conditional Heteroscedastic Model Checking

Multivariate Time Series Diagnostic Checking

Recursive Least Squares

Sample Constrained Correlations

Vector Autoregressive Moving-Average Models

Vector Autoregressive Moving-Average Models (Cpp)

Polynomial Matrix Product

Multivariate Time Series Plot

Multivariate ARCH test

Kronecker Index Identification

Pi Weight Matrices

Psi Wights Matrices

Autocovariance Matrices of a VARMA Model

VAR Psi-weights

Multivariate Linear Model

Scalar Component Model Fitting

Scalar Component Identification

Generating a VARMA Process

VARMA Prediction

VMA Order Specification

VMA Model with Selected Lags

Impulse Response Functions of a VARMA Model

Preliminary Fitting of DCC Models

Backtesting of a scalar ARIMA model

VARX Order Specification

Refining VARMA Estimation via Kronecker Index Approach

Difference of multivariate time series

Cross-Correlation Matrices

Kronecler Index Specification

VAR order specification I

VAR Order Specification

Half-Stacking Vector of a Symmetric Matrix

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

Multivariate t-Copula Volatility Model

Multivariate Ljung-Box Q Statistics

Square Root Matrix

Alternative Polynomial Matrix Product

Refining a Regression Model with Time Series Errors

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

VARX Model Prediction

Refining VARMA Estimation

VARMA Model with Missing Value

Refining a VARX Model

Bayesian Vector Autoregression

Multivariate Time Series

MTS Internal Functions

Prediction of a fitted regression model with time series errors

Regression Model with Time Series Errors

Scalar Component Model Specification II

Vector Autoregressive Model

Stock-Watson Diffusion Index Forecasts

VAR Model with Selected Lags

Refining VMA Models

Refining VMA Estimation via the Exact Likelihood Method

Scalar Component Model specification

VAR Model with Exogenous Variables

Impluse response function of a fitted VARX model

Partial Missing Value of a VARMA Series

Vector Moving Average Model (Cpp)

Vector Moving Average Model

VMA Estimation with Exact likelihood

Seasonal VARMA Model Estimation (Cpp)

Prediction of a fitted multiplicative seasonal VARMA model

Dynamic Cross-Correlation Model Fitting

Common Volatility

Monthly simple returns of ten U.S. stocks

Refining Error-Correction Model for VAR series

Refining ECM for a VAR process

Constrained Factor Model

Asymptotic Principal Component Analysis

Transfer Function Model

ARCH test for univariate time series

Transfer Function Model with One Input

Transfer Function Model with Two Input Variables

Refining a Seasonal VARMA Model

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

Refining Estimation of VARMA Model via SCM Approach

Seasonal VARMA Model Estimation

Refining a VAR Model