Kronid: Kronecker Index Identification

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

Kronecker Index Identification

Description

Find the Kronecker indices of a k-dimensional time series

Usage

Kronid(x, plag = 5, crit = 0.05)

Arguments

x	Data matrix (T-by-k) of a k-dimensional time series
plag	The number of lags used to represent the past vector. Default is 5.
crit	Type-I error used in testing for zero canonical correlations. Deafult is 0.05.

Value

index	Kronecker indices
tests	Chi-square test statistics

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Examples

phi=matrix(c(0.2,-0.6,.3,1.1),2,2); sigma=diag(2); theta=-0.5*sigma
m1=VARMAsim(300,arlags=c(1),malags=c(1),phi=phi,theta=theta,sigma=sigma)
zt=m1$series
Kronid(zt)

MTS documentation built on April 11, 2022, 5:07 p.m.