mq: Multivariate Ljung-Box Q Statistics
In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
mq R Documentation
Multivariate Ljung-Box Q Statistics
Description
Computes the multivariate Ljung-Box statistics for
cross-correlation matrices
Usage
mq(x, lag = 24, adj = 0)
Arguments
x
The data matrix of a vector time series or residual series of a
fitted multivariate model.
lag
The number of cross-correlation matrices used. Default is 24.
adj
Adjustment for the degrees of freedom for the Ljung-Box
statistics. This is used for residual series. Default is zero.
Details
Computes the multivariate Ljung-Box statistics and their
p-values. For model checking, the subcommand adj can be used to
adjust the degrees of freedom of the Chi-square statistics.
Value
The multivariate Q-statistics and their p-values. Also, it provides a
plot of the p-values.
Author(s)
Ruey S. Tsay
References
Tsay (2014). Multivariate Time Series Analysis with R and
Financial Applications. John Wiley. Hoboken, NJ.
Examples
x=matrix(rnorm(1500),500,3)
mq(x)
MTS documentation built on April 11, 2022, 5:07 p.m.
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| mq | R Documentation |
Multivariate Ljung-Box Q Statistics
Description
Computes the multivariate Ljung-Box statistics for cross-correlation matrices
Usage
mq(x, lag = 24, adj = 0)
Arguments
x |
The data matrix of a vector time series or residual series of a fitted multivariate model. |
lag |
The number of cross-correlation matrices used. Default is 24. |
adj |
Adjustment for the degrees of freedom for the Ljung-Box statistics. This is used for residual series. Default is zero. |
Details
Computes the multivariate Ljung-Box statistics and their p-values. For model checking, the subcommand adj can be used to adjust the degrees of freedom of the Chi-square statistics.
Value
The multivariate Q-statistics and their p-values. Also, it provides a plot of the p-values.
Author(s)
Ruey S. Tsay
References
Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
Examples
x=matrix(rnorm(1500),500,3) mq(x)
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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