pacfmat: 'pacfmat' sequence of partial autocorrelation matrices and...

In tsapp: Time Series, Analysis and Application

Description

pacfmat sequence of partial autocorrelation matrices and related statistics for a multivariate time series

Usage

pacfmat(y, lag.max)

Arguments

y	multivariate time series
lag.max	maximum number of lag

Value

out list with components:

M	array with matrices of partial autocovariances divided by their standard error
M1	array with indicators if partial autocovariances are significantly greater (+), lower (-) than the critical value or insignificant (.)
R	array with matrices of partial autocovariances
S	matrix of diagonals of residual covariances (row-wise)
Test	test statistic
pval	p value of test

Examples

data(ICECREAM)
out <- pacfmat(ICECREAM,7) 

tsapp documentation built on Oct. 30, 2021, 5:08 p.m.