pacfmat function

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

pacfmat(y, lag.max)

Arguments

• y: multivariate time series
• lag.max: maximum number of lag

Returns

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)