WeightedPortTest-package: Weighted Portmanteau Test procedures for Time Series...
In WeightedPortTest: Weighted Portmanteau Tests for Time Series Goodness-of-Fit
WeightedPortTest-package R Documentation
Weighted Portmanteau Test procedures for Time Series Goodness-of-fit
Description
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.
Details
Package: WeightedPortTest
Type: Package
Version: 1.1
Date: 2023-05-23
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.
Author(s)
Thomas J. Fisher and Colin M. Gallagher
Maintainer: Thomas J. Fisher <fishert4@miamioh.edu>
WeightedPortTest documentation built on May 31, 2023, 9:01 p.m.
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| WeightedPortTest-package | R Documentation |
Weighted Portmanteau Test procedures for Time Series Goodness-of-fit
Description
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.
Details
| Package: | WeightedPortTest |
| Type: | Package |
| Version: | 1.1 |
| Date: | 2023-05-23 |
| 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.
Author(s)
Thomas J. Fisher and Colin M. Gallagher
Maintainer: Thomas J. Fisher <fishert4@miamioh.edu>
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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