portes: Portmanteau Tests for Univariate and Multivariate Time Series Models

This package contains a set of portmanteau diagnostic checks for univariate and multivariate time series.

Author
Esam Mahdi, Ken Jinkun Xiao and A. Ian McLeod
Date of publication
2014-08-08 07:36:01
Maintainer
A. Ian McLeod <aim@stats.uwo.ca>
License
GPL (>= 2)
Version
2.1-3
URLs

View on CRAN

Man pages

BoxPierce
The Univariate-Multivariate Box and Pierce Portmanteau Test
CRSP
Monthly simple returns of the CRSP value-weighted index, 1926...
DEXCAUS
Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to...
fitstable
Fit Parameters to Stable Distributions, McCulloch (1986)
GetResiduals
Extract Residuals from ARIMA, VAR, FGN, GARCH, or any Fitted...
GNPDEF
GNP Deflator for U.S. Inflation Data from January 01, 1947 to...
gvtest
Generalized Variance Portmanteau Test
Hosking
The Modified Multivariate Portmanteau Test, Hosking (1980)
IbmSp500
Monthly Returns of IBM and S&P 500 Index
ImpulseVMA
The Impulse Response Function in the Infinite MA or VMA...
InvertQ
Check Stationary and Invertibility of ARMA or VARMA Models
LiMcLeod
The Modified Multivariate Portmanteau Test, Li-McLeod (1981)
LjungBox
Ljung and Box Portmanteau Test
monthintel
The Monthly Log Stock Returns of Intel Corporation from...
portes-package
Portmanteau Tests for Univariate and Multivariate Time Series...
portest
Portmanteau Test Statistics
rStable
Generate Data From Stable Distributions
ToeplitzBlock
Toeplitz Block Matrix of Hosking (1980) Auto and Cross...
varima.sim
Simulate Data From Nonseasonal ARIMA(p,d,q) or VARIMA(p,d,q)...
vma.sim
Compute The Vector of Moving Average Model (VMA)
WestGerman
Quarterly, West German Investment, Income, and Consumption:...

Files in this package

portes
portes/inst
portes/inst/CITATION
portes/inst/doc
portes/inst/doc/portesFunctions.pdf
portes/inst/doc/portesPower.pdf
portes/NAMESPACE
portes/data
portes/data/CRSP.rda
portes/data/DEXCAUS.rda
portes/data/GNPDEF.rda
portes/data/WestGerman.rda
portes/data/IbmSp500.rda
portes/data/monthintel.rda
portes/R
portes/R/ImpulseVMA.R
portes/R/portest.R
portes/R/GetResiduals.R
portes/R/LjungBox.R
portes/R/LiMcLeod.R
portes/R/varima.sim.R
portes/R/BoxPierce.R
portes/R/vma.sim.R
portes/R/rStable.R
portes/R/InvertQ.R
portes/R/gvtest.r
portes/R/fitstable.R
portes/R/Hosking.R
portes/R/ToeplitzBlock.R
portes/MD5
portes/DESCRIPTION
portes/man
portes/man/portest.Rd
portes/man/GNPDEF.Rd
portes/man/LjungBox.Rd
portes/man/varima.sim.Rd
portes/man/InvertQ.Rd
portes/man/fitstable.Rd
portes/man/ToeplitzBlock.Rd
portes/man/ImpulseVMA.Rd
portes/man/portes-package.Rd
portes/man/rStable.Rd
portes/man/vma.sim.Rd
portes/man/WestGerman.Rd
portes/man/LiMcLeod.Rd
portes/man/gvtest.Rd
portes/man/monthintel.Rd
portes/man/IbmSp500.Rd
portes/man/DEXCAUS.Rd
portes/man/Hosking.Rd
portes/man/CRSP.Rd
portes/man/GetResiduals.Rd
portes/man/BoxPierce.Rd