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) .


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install.packages("portes")

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