RDocumentation
Moon
Learn R
Search all packages and functions
⚠️
There's a newer version (6.0) of this package.
Take me there.
portes (version 1.07)
Portmanteau Tests for Time Series Models
Description
This package contains a set of portmanteau diagnostic checks for univariate and multivariate time series.
Copy Link
Copy
Link to current version
Version
Version
6.0
5.0
3.0
2.1-4
2.1-3
2.1-1
2-1
1.08
1.07
1.04
Down Chevron
Install
install.packages('portes')
Monthly Downloads
1,348
Version
1.07
License
GPL (>= 2)
Maintainer
A. McLeod
Last Published
March 29th, 2011
Functions in portes (1.07)
Search functions
ImpulseVMA
The Impulse Response Function in the Infinite MA or VMA Representation
ToeplitzBlock
Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices
varima.sim
Simulate Data From Nonseasonal ARIMA(p,d,q) or VARIMA(p,d,q) Models
CRSP
Monthly simple returns of the CRSP value-weighted index, 1926 to 1997
LjungBox
Ljung and Box Portmanteau Test
vma.sim
Compute The Vector of Moving Average Model (VMA)
Hosking
The Modified Multivariate Portmanteau Test, Hosking (1980)
gvtest
Generalized Variance Portmanteau Test
LiMcLeod
The Modified Multivariate Portmanteau Test, Li-McLeod (1981)
GetResiduals
Extract Residuals from Fitted ARIMA, VAR, or FGN Model
DEXCAUS
Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to Sept. 5, 1996.
BoxPierce
The Univariate-Multivariate Box and Pierce Portmanteau Test
portest
Portmanteau Test Statistics
monthintel
The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003
InvertQ
Check Stationary and Invertibility of ARMA or VARMA Models
rstable
Generate Data From Stable Distributions
portes-package
Portmanteau Tests for Time Series Models
fitstable
Fit Parameters to Stable Distributions, McCulloch (1986)
monthibmspln
The Monthly Log Returns of IBM Stock and the S&P 500 Index
house
The Monthly House Sales and House Starts.
WestGerman
Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4