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portes (version 1.04)
Portmanteau Tests for ARMA, VARMA, ARCH, and FGN Models
Description
This package contains a set of portmanteau diagnostic checks for univariate and multivariate time series.
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Install
install.packages('portes')
Monthly Downloads
1,348
Version
1.04
License
GPL (>= 2)
Maintainer
A. McLeod
Last Published
September 9th, 2010
Functions in portes (1.04)
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ImpulseVMA
The Impulse Response Function in the Infinite MA or VMA Representation
simvma
Compute The Vector of Moving Average Model (VMA)
house
The Monthly House Sales and House Starts.
blockToeplitz
Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices
BoxPierce
The Univariate-Multivariate Box and Pierce Portmanteau Test
monthintel
The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003
LjungBox
Ljung and Box Portmanteau Test
DEXCAUS
Canada/US Foreign Exchanges Rates, Daily, Sept 6, 1996 to Sept. 5, 1996.
WestGerman
Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4
GVStat
Generalized Variance Portmanteau Test
FitStable
Fit Parameters to Stable Distributions, McCulloch (1986)
LiMcLeod
The Modified Multivariate Portmanteau Test, Li-McLeod (1981)
portes-package
Portmanteau Tests for ARMA, VARMA, ARCH, and FGN Models
simvarma
Simulate Data From ARMA(p,q) or VARMA(p,q) Models
monthibmspln
The Monthly Log Returns of IBM Stock and the S&P 500 Index
InvertQ
Check Stationary and Invertibility of ARMA or VARMA Models
rstable
Generate Data From Stable Distributions
Hosking
The Modified Multivariate Portmanteau Test, Hosking (1980)
portes
Parametric Bootstrap Portmanteau Tests
Get.Resid
Extract Residuals from Fitted ARIMA, VAR, or FGN Model
CRSP
Monthly simple returns of the CRSP value-weighted index, 1926 to 1997