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portes (version 2.1-3)
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
1,348
Version
2.1-3
License
GPL (>= 2)
Maintainer
A. McLeod
Last Published
August 8th, 2014
Functions in portes (2.1-3)
Search functions
fitstable
Fit Parameters to Stable Distributions, McCulloch (1986)
WestGerman
Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4
DEXCAUS
Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to Sept. 5, 1996.
LjungBox
Ljung and Box Portmanteau Test
Hosking
The Modified Multivariate Portmanteau Test, Hosking (1980)
rStable
Generate Data From Stable Distributions
ImpulseVMA
The Impulse Response Function in the Infinite MA or VMA Representation
varima.sim
Simulate Data From Nonseasonal ARIMA(p,d,q) or VARIMA(p,d,q) Models
BoxPierce
The Univariate-Multivariate Box and Pierce Portmanteau Test
portes-package
Portmanteau Tests for Univariate and Multivariate Time Series Models
ToeplitzBlock
Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices
IbmSp500
Monthly Returns of IBM and S&P 500 Index
GetResiduals
Extract Residuals from ARIMA, VAR, FGN, GARCH, or any Fitted Time Series Model
gvtest
Generalized Variance Portmanteau Test
monthintel
The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003
LiMcLeod
The Modified Multivariate Portmanteau Test, Li-McLeod (1981)
InvertQ
Check Stationary and Invertibility of ARMA or VARMA Models
CRSP
Monthly simple returns of the CRSP value-weighted index, 1926 to 1997
portest
Portmanteau Test Statistics
vma.sim
Compute The Vector of Moving Average Model (VMA)
GNPDEF
GNP Deflator for U.S. Inflation Data from January 01, 1947 to April 01, 2010.