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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.

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Version

Install

install.packages('portes')

Monthly Downloads

906

Version

1.07

License

GPL (>= 2)

Maintainer

A. McLeod

Last Published

March 29th, 2011

Functions in portes (1.07)

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