Portmanteau Tests for Time Series Models
This package contains a set of portmanteau diagnostic checks for univariate and multivariate time series based on the asymptotic approximation distributions and the Monte-Carlo significance test. More details about the portmanteau test statistics are available online from the vignette of this package. This package can be also used to simulate univariate and multivariate data from seasonal/nonseasonal ARIMA/ VARIMA models with innovations from finite or infinite variances from stable distributions. The simulated data may have deterministic terms, constant drifts and time trends, with non-zero means.
package
| Package: | portes |
| Type: | Package |
| Version: | 6.0 |
| Date: | 2023-06-06 |
| LazyLoad: | yes |
| LazyData: | yes |
| Classification/ACM: | G.3, G.4, I.5.1 |
| Classification/MSC: | 62M10, 91B84 |
| License: | GPL (>= 2) |
Esam Mahdi and A. Ian McLeod.
Maintainer: Esam Mahdi emahdi2012@gmail.com
Useful links