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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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Version

Install

install.packages('portes')

Monthly Downloads

589

Version

1.08

License

CC BY-NC-SA 3.0

Maintainer

A. McLeod

Last Published

April 11th, 2013

Functions in portes (1.08)

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