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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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Version

Install

install.packages('portes')

Monthly Downloads

519

Version

2.1-1

License

GPL (>= 2)

Maintainer

A.I. McLeod

Last Published

October 17th, 2013

Functions in portes (2.1-1)

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)