mcleodLiTest

McLeod-Li test for conditional heteroscedascity (ARCH).

Functions for nonlinear time series analysis. This package permits
the computation of the  most-used nonlinear statistics/algorithms
including generalized correlation dimension, information dimension,
largest Lyapunov exponent, sample entropy and Recurrence
Quantification Analysis (RQA), among others. Basic routines
for surrogate data testing are also included. Part of this work
was based on the  book "Nonlinear time series analysis" by
Holger Kantz and Thomas Schreiber (ISBN: 9780521529020).

Constantino A. Garcia

nonlinearTseries

Nonlinear Time Series Analysis

Gunther Sawitzki

mcleodLiTest function

<dl><dt>time.series</dt>
<dd>The original time.series.</dd>
<dt>lag.max</dt>
<dd>Maximum number of lags for which to test for 
conditional heteroscedascity.</dd></dl>

Arguments

McLeod-Li test — mcleodLiTest

<dl>

<dt>time.series</dt>
<dd>The original time.series.</dd>


<dt>lag.max</dt>
<dd>Maximum number of lags for which to test for 
conditional heteroscedascity.</dd>

</dl>

mcleodLiTest: McLeod-Li test

Description

Usage

Value

Arguments

References

See Also