Eccm function

Extended Cross-Correlation Matrices

Compute the extended cross-correlation matrices and the associated two-way table of p-values of multivariate Ljung-Box statistics of a vector time series.

Eccm(zt, maxp = 5, maxq = 6, include.mean = FALSE, rev = TRUE)

Arguments

• zt: Data matrix (T-by-k) of a vector time series, where T is the sample size and k is the dimension.
• maxp: Maximum AR order entertained. Default is 5.
• maxq: Maximum MA order entertained. Default is 6.
• include.mean: A logical switch controlling the mean vector in estimation. Default assumes zero mean.
• rev: A logical switch to control the cross-correlation matrices used to compute the multivariate Ljung-Box statistics. Traditional way is to compute test statistics from lag-1 to lag-m. If rev = TRUE, then the test statistics are compute from lag-(m-1) to lag-m, from lag-(m-2) to lag-m, etc.

Returns

• pEccm: A two-way table of the p-values of extended cross-correlation matrices

• vEccm: The sample extended cross-correlation matrices

• ARcoef: AR coefficient matrices of iterated VAR fitting

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

Examples

zt=matrix(rnorm(900),300,3)
m1=Eccm(zt)