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portes (version 1.08)
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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Install
install.packages('portes')
Monthly Downloads
1,348
Version
1.08
License
CC BY-NC-SA 3.0
Maintainer
A. McLeod
Last Published
April 11th, 2013
Functions in portes (1.08)
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portest
Portmanteau Test Statistics
InvertQ
Check Stationary and Invertibility of ARMA or VARMA Models
ImpulseVMA
The Impulse Response Function in the Infinite MA or VMA Representation
DEXCAUS
Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to Sept. 5, 1996.
monthibmspln
The Monthly Log Returns of IBM Stock and the S&P 500 Index
LiMcLeod
The Modified Multivariate Portmanteau Test, Li-McLeod (1981)
house
The Monthly House Sales and House Starts.
varima.sim
Simulate Data From Nonseasonal ARIMA(p,d,q) or VARIMA(p,d,q) Models
fitstable
Fit Parameters to Stable Distributions, McCulloch (1986)
Hosking
The Modified Multivariate Portmanteau Test, Hosking (1980)
WestGerman
Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4
LjungBox
Ljung and Box Portmanteau Test
CRSP
Monthly simple returns of the CRSP value-weighted index, 1926 to 1997
rstable
Generate Data From Stable Distributions
GetResiduals
Extract Residuals from Fitted ARIMA, VAR, or FGN Model
BoxPierce
The Univariate-Multivariate Box and Pierce Portmanteau Test
portes-package
Portmanteau Tests for Time Series Models
monthintel
The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003
ToeplitzBlock
Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices
vma.sim
Compute The Vector of Moving Average Model (VMA)
gvtest
Generalized Variance Portmanteau Test