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portes (version 2.1-1)
Portmanteau Tests for Univariate and Multivariate 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
557
Version
2.1-1
License
GPL (>= 2)
Maintainer
A.I. McLeod
Last Published
October 17th, 2013
Functions in portes (2.1-1)
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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
portest
Portmanteau Test Statistics
GetResiduals
Extract Residuals from ARIMA, VAR, FGN, GARCH, or any Fitted Time Series Model
LiMcLeod
The Modified Multivariate Portmanteau Test, Li-McLeod (1981)
GNPDEF
GNP Deflator for U.S. Inflation Data from January 01, 1947 to April 01, 2010.
fitstable
Fit Parameters to Stable Distributions, McCulloch (1986)
Hosking
The Modified Multivariate Portmanteau Test, Hosking (1980)
ImpulseVMA
The Impulse Response Function in the Infinite MA or VMA Representation
monthintel
The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003
varima.sim
Simulate Data From Nonseasonal ARIMA(p,d,q) or VARIMA(p,d,q) Models
InvertQ
Check Stationary and Invertibility of ARMA or VARMA Models
ToeplitzBlock
Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices
portes-package
Portmanteau Tests for Univariate and Multivariate Time Series Models
BoxPierce
The Univariate-Multivariate Box and Pierce Portmanteau Test
gvtest
Generalized Variance Portmanteau Test
DEXCAUS
Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to Sept. 5, 1996.
IbmSp500
Monthly Returns of IBM and S&P 500 Index
rStable
Generate Data From Stable Distributions
vma.sim
Compute The Vector of Moving Average Model (VMA)