diffM: Difference of multivariate time series
In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
diffM R Documentation
Difference of multivariate time series
Description
Performs the difference operation of a vector time series
Usage
diffM(zt, d = 1)
Arguments
zt
A vector time series (T by k, with sample size T and dimension k)
d
Order of differencing. Default is d=1.
Details
When d = 1, the command is equivalent to
apply(zt,2,diff)
Value
The differenced time series
Author(s)
Ruey S Tsay
Examples
data("mts-examples",package="MTS")
zt=log(qgdp[,3:5])
xt=diffM(zt)
MTS documentation built on April 11, 2022, 5:07 p.m.
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| diffM | R Documentation |
Difference of multivariate time series
Description
Performs the difference operation of a vector time series
Usage
diffM(zt, d = 1)
Arguments
zt |
A vector time series (T by k, with sample size T and dimension k) |
d |
Order of differencing. Default is d=1. |
Details
When d = 1, the command is equivalent to apply(zt,2,diff)
Value
The differenced time series
Author(s)
Ruey S Tsay
Examples
data("mts-examples",package="MTS")
zt=log(qgdp[,3:5])
xt=diffM(zt)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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