portes (2.1-4)

Portmanteau Tests for Univariate and Multivariate Time Series Models.


Simulate a univariate/multivariate data from seasonal and nonseasonal time series models. It implements the well-known univariate and multivariate portmanteau test statistics based on the asymptotic distributions and the Monte-Carlo significance tests.

Maintainer: Esam Mahdi
Author(s): Esam Mahdi and A. Ian McLeod

License: GPL (>= 2)

Uses: akima, fGarch, fracdiff, tseries, vars, FGN, gstat, FitAR, TSA, forecast

Released over 2 years ago.