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) and Mahdi and McLeod (2020) .


Reference manual

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5.0 by Esam Mahdi, 5 months ago

Browse source code at https://github.com/cran/portes

Authors: Esam Mahdi [aut, cre] , Ian McLeod [ctb]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Depends on parallel, forecast

Suggests akima, car, fGarch, FitAR, fracdiff, gstat, tseries, vars

See at CRAN