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Block Toeplitz matrix of order MahdiMcLeod
.
ToeplitzBlock(res,lag.max,season=1)
residuals, numeric or matrix.
an integer number =
seasonal periodicity given from MahdiMcLeod
. Default is 1 for non seasonality cases.
A block Toeplitz matrix of auto and cross correlation matrices using Hosking (1980) definition
from lag
= lag
=
Hosking, J. R. M. (1980). "The Multivariate Portmanteau Statistic". Journal of American Statistical Association, 75, 602-608.
Lin, J.-W. and McLeod, A.I. (2006). "Improved Generalized Variance Portmanteau Test". Computational Statistics and Data Analysis, 51, 1731-1738.
Mahdi, E. and McLeod, A.I. (2011, accepted). "Improved Multivariate Portmanteau Test". Journal of Time Series Analysis. (JTSA - 3192).
# NOT RUN {
x <- rnorm(100)
ToeplitzBlock(x,lag.max=4) ## Univariate Series
#
y <- cbind(rnorm(100),rnorm(100))
ToeplitzBlock(y,lag.max=4) ## Multivariate Series
#
ToeplitzBlock(y,lag.max=4,season=4) ## Multivariate Series
# }
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