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 |
| CRAN checks: | portes results |
| Reference manual: | portes.pdf |
| Vignettes: |
Portmanteau Test Statistics |
| Package source: | portes_5.0.tar.gz |
| Windows binaries: | r-devel: portes_5.0.zip, r-release: portes_5.0.zip, r-oldrel: portes_5.0.zip |
| macOS binaries: | r-release: portes_5.0.tgz, r-oldrel: portes_5.0.tgz |
| Old sources: | portes archive |
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