Package: portes 6.0

Esam Mahdi

portes: Portmanteau Tests for Time Series Models

Contains common univariate and multivariate portmanteau test statistics for time series models. These tests are based on using asymptotic distributions such as chi-square distribution and based on using the Monte Carlo significance tests. Also, it can be used to simulate from univariate and multivariate seasonal time series models.

Authors:Esam Mahdi

portes_6.0.tar.gz
portes_6.0.tar.gz(r-4.5-noble)portes_6.0.tar.gz(r-4.4-noble)
portes_6.0.tgz(r-4.4-emscripten)portes_6.0.tgz(r-4.3-emscripten)
portes.pdf |portes.html✨
portes/json (API)

# Install 'portes' in R:
install.packages('portes', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • CRSP - Monthly simple returns of the CRSP value-weighted index, 1926 to 1997
  • DEXCAUS - Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to Sept. 5, 1996.
  • EconomicUK - Quarterly U.K. economic time series from 1957 Q3 to 1967 Q4
  • GNPDEF - GNP Deflator for U.S. Inflation Data from January 01, 1947 to April 01, 2010.
  • IbmSp500 - Monthly Returns of IBM and S&P 500 Index
  • WestGerman - Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4
  • monthintel - The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

12 exports 0.00 score 48 dependencies 67 scripts 500 downloads

Last updated 1 years agofrom:1b4e01206e. Checks:OK: 1 NOTE: 1. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 07 2024
R-4.5-linuxNOTESep 07 2024

Exports:BoxPierceGetResidualsHoskingImpulseVMAInvertQLiMcLeodLjungBoxMahdiMcLeodportestToeplitzBlockvarima.simvma.sim

Dependencies:clicolorspacecurlfansifarverforecastfracdiffgenericsggplot2gluegtableisobandjsonlitelabelinglatticelifecyclelmtestmagrittrMASSMatrixmgcvmunsellnlmennetpillarpkgconfigquadprogquantmodR6RColorBrewerRcppRcppArmadillorlangsandwichscalesstrucchangetibbletimeDatetseriesTTRurcautf8varsvctrsviridisLitewithrxtszoo