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portes (version 3.0)

Portmanteau Tests for Univariate and Multivariate Time. Series Models

Description

Simulate a univariate and multivariate data from seasonal and nonseasonal time series models. It implements the popular univariate and multivariate portmanteau test statistics based on the asymptotic distributions and the Monte Carlo significance tests.

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Version

Install

install.packages('portes')

Monthly Downloads

906

Version

3.0

License

GPL (>= 2)

Maintainer

Esam Mahdi

Last Published

July 19th, 2018

Functions in portes (3.0)

Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to Sept. 5, 1996.

Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4

Portmanteau Tests for Univariate and Multivariate Time Series Models

GNP Deflator for U.S. Inflation Data from January 01, 1947 to April 01, 2010.

Extract Residuals from ARIMA, VAR, or any Simulated Fitted Time Series Model

Generalized Variance Portmanteau Test

Portmanteau Test Statistics

Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices

Fit Parameters to Stable Distributions, McCulloch (1986)

Generate Data From Stable Distributions

Simulate Data From Seasonal/Nonseasonal ARIMA(p,d,q)*(ps,ds,qs)_s or VARIMA(p,d,q)*(ps,ds,qs)_s Models

Compute The Vector of Moving Average Model (VMA)

Check Stationary and Invertibility of ARMA or VARMA Models

The Impulse Response Function in the Infinite MA or VMA Representation

The Modified Multivariate Portmanteau Test, Li-McLeod (1981)

Ljung and Box Portmanteau Test

The Modified Multivariate Portmanteau Test, Hosking (1980)

Monthly Returns of IBM and S&P 500 Index

Quarterly U.K. economic time series from 1957 Q3 to 1967 Q4

The Univariate-Multivariate Box and Pierce Portmanteau Test

Monthly simple returns of the CRSP value-weighted index, 1926 to 1997

The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003