WeightedPortTest-package: Weighted Portmanteau Test procedures for Time Series...

Description Details Author(s)


Two functions that implement the Weighted Portmanteau Statistics from Fisher and Gallagher (2012). The first is essentially a weighted Ljung-Box type test that can be used for fitted ARMA processes or detecting non-linear effects. The second function can be utilized to check the adequacy of a fitted ARCH process. Both are written for backward compatibility.


Package: WeightedPortTest
Type: Package
Version: 1.0
Date: 2012-03-29
License: GPL (>=3)
LazyLoad: yes

The two functions, Weighted.Box.test() and Weighted.LM.test(), can be used in a similiar to the Box.test() function.


Thomas J. Fisher and Colin M. Gallagher

Maintainer: Thomas J. Fisher <fishertho@umkc.edu>

Search within the WeightedPortTest package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.