Man pages for MTS
All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

apcaAsymptotic Principal Component Analysis
archTestARCH test for univariate time series
BEKK11BEKK Model
Btfm2Back-Test of a Transfer Function Model with Two Input...
BVARBayesian Vector Autoregression
ccmCross-Correlation Matrices
comVolCommon Volatility
dccFitDynamic Cross-Correlation Model Fitting
dccPrePreliminary Fitting of DCC Models
diffMDifference of multivariate time series
EccmExtended Cross-Correlation Matrices
ECMvarError-Correction VAR Models
ECMvar1Error-Correction VAR Model 1
EWMAvolExponentially Weighted Moving-Average Volatility
FEVdecForecast Error Variance Decomposition
GrangerTestGranger Causality Test
hfactorConstrained Factor Model
ibmspkoMonthly simple returns of the stocks of International...
KronfitFitting a VARMA Model via Kronecker Index
KronidKronecker Index Identification
KronspecKronecler Index Specification
MarchTestMultivariate ARCH test
MCHdiagMultivariate Conditional Heteroscadastic Model Cheking
MCholVMultivariate Cholesky Volatility Model
MlmMultivariate Linear Model
mqMultivariate Ljung-Box Q Statistics
msqrtSquare Root Matrix
mtCopulaMulivariate t-Copula Volatility Model
MTSdiagMultivariate Time Series Diagnostic Checking
MTS-internalMTS Internal Functions
MTS-packageMultivariate Time Series
MTSplotMultivariate Time Series Plot
MtxprodPolynomial Matrix Product
Mtxprod1Alternative Ploynomial Matrix Product
PIwgtPi Weight Matrices
PSIwgtPsi Wights Matrices
qgdpQuarterly real gross domestic products of United Kingdom,...
refECMvarRefining Error-Correction Model for VAR series
refECMvar1Refining ECM for a VAR process
refKronfitRefining VARMA Estimation via Kronecker Index Approach
refREGtsRefining a Regression Model with Time Series Errors
refSCMfitRefining Estimation of VARMA Model via SCM Approch
refsVARMARefining a Seasonal VARMA Model
refVARRefining a VAR Model
refVARMARefining VARMA Estimation
refVARXRefining a VARX Model
refVMARefining VMA Models
refVMAeRefining VMA Estimation via the Exact Likelihood Method
REGtsRegression Model with Time Series Errors
RLSRecursive Least Squares
SCCorSample Constrained Correlations
SCMfitScalar Component Model Fitting
SCMidScalar Component Identification
SCMid2Scalar Component Model Specification II
SCMmodScalar Component Model specification
sVARMASeasonal VARMA Model Estimation
sVARMACppSeasonal VARMA Model Estimation (Cpp)
SWforeStock-Watson Diffusion Index Forecasts
tenstocksMonthly simple returns of ten U.S. stocks
tfmTransfer Function Model
tfm1Transfer Function Model with One Input
tfm2Transfer Function Model with Two Input Variables
VARVector Autoregressive Model
VARMAVector Autoregressive Moving-Average Models
VARMAcovAutocovariance Matrices of a VARMA Model
VARMACppVector Autoregressive Moving-Average Models (Cpp)
VARMAirfImpulse Response Functions of a VARMA Model
VARMApredVARMA Prediction
VARMAsimGenerating a VARMA Process
VARorderVAR Order Specification
VARorderIVAR order specification I
VARpredVAR Prediction
VARpsiVAR Psi-weights
VARsVAR Model with Selected Lags
VARXVAR Model with Exogenous Variables
VARXorderVARX Order Specification
VARXpredVARX Model Prediction
VechHalf-Stacking Vector of a Symmetrix Matrix
VechMMatrix constructed from output of the Vech Command. In other...
VMAVector Moving Averge Model
VMACppVector Moving Averge Model (Cpp)
VMAeVMA Estimation with Exact likelihood
VMAorderVMA Order Specification
VMAsVMA Model with Selected Lags
VmissVARMA Model with Missing Value
VpmissPartial Missing Value of a VARMA Series
MTS documentation built on May 29, 2017, 5:15 p.m.