ToeplitzBlock: Toeplitz Block Matrix of Hosking (1980) Auto and Cross...

In portes: Portmanteau Tests for Time Series Models

Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices

Description

Block Toeplitz matrix of order m+1 with k\times k auto-cross correlation matrices. The Hosking (1980) definition of the correlation matrix is used. This is needed for the function MahdiMcLeod.

Usage

ToeplitzBlock(res,Maxlag)

Arguments

res	residuals, numeric or matrix.
Maxlag	an integer number = m is used to determined the order of the block matrix.

Value

A block Toeplitz matrix of auto and cross correlation matrices using Hosking (1980) definition from lag = 0 to lag = m.

Author(s)

Esam Mahdi and A.I. McLeod.

References

Hosking, J. R. M. (1980). "The Multivariate Portmanteau Statistic". Journal of American Statistical Association, 75, 602-608.

Lin, J.-W. and McLeod, A.I. (2006). "Improved Generalized Variance Portmanteau Test". Computational Statistics and Data Analysis, 51, 1731-1738.

Mahdi, E. and McLeod, A.I. (2011, accepted). "Improved Multivariate Portmanteau Test". Journal of Time Series Analysis. (JTSA - 3192).

See Also

acf, MahdiMcLeod, toeplitz

Examples

x <- rnorm(100)   
ToeplitzBlock(x,Maxlag=4)          ## Univariate Series
#
y <- cbind(rnorm(100),rnorm(100)) 
ToeplitzBlock(y,Maxlag=4)          ## Multivariate Series

portes documentation built on July 9, 2023, 5:07 p.m.