portes: Portmanteau Tests for Univariate and Multivariate Time Series
Models
Contains common univariate and multivariate portmanteau test statistics in time series based on the asymptotic distributions and the Monte Carlo significance tests. Simulate univariate and multivariate data from seasonal and nonseasonal time series models. See Mahdi and McLeod (2012) <doi:10.1111/j.1467-9892.2011.00752.x> and
Mahdi and McLeod (2020) <arXiv:2005.00931>.
Version: |
5.0 |
Depends: |
parallel, forecast |
Suggests: |
akima, car, fGarch, FitAR, fracdiff, gstat, tseries, vars |
Published: |
2020-12-15 |
Author: |
Esam Mahdi [aut, cre],
Ian McLeod [ctb] |
Maintainer: |
Esam Mahdi <emahdi at qu.edu.qa> |
License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: |
no |
Classification/ACM: |
G.3, G.4, I.5.1 |
Classification/MSC: |
62M10, 91B84 |
Citation: |
portes citation info |
In views: |
TimeSeries |
CRAN checks: |
portes results |
Documentation:
Downloads:
Reverse dependencies:
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