boot.residuals.arima |
generate residuals from a fitted arma model |
CRSP |
monthly simple returns of the CRSP value-weighted index, 1926 to 1997 |
DEXCAUS |
Canada/US foreign exchanges rates, daily, Sept 6, 1996 to Sept. 5, 1996. |
FitStable |
Fit parameters to stable distribution |
impARMA |
impulse coefficients for ARMA model |
LBStat |
Evaluate Ljung-Box portmanteau statistic |
LBTest |
Ljung-Box portmanteau test |
Mcalpha |
internal function for FitStable |
Mcbeta |
internal function for FitStable |
Mcmu |
internal function for FitStable |
MCPortmanteauTest |
Monte-Carlo portmanteau tests |
Mcsigma |
internal function for FitStable |
MCTable3 |
internal table for FitStable |
MCTable4 |
internal table for FitStable |
MCTable5 |
internal table for FitStable |
MCTable7 |
internal table for FitStable |
PRStat |
Generalized variance test statistic |
PRTest |
Implements the Monte-Carlo testing methods discussed in the papers of Lin and McLeod (2006, 2007). |
PRTest-package |
Implements the Monte-Carlo testing methods discussed in the papers of Lin and McLeod (2006, 2007). |
Returns |
Simple returns |
SimMA |
Compute MA using convolve |
SimulateARMA |
Simulate ARMA time series. Gaussian or Stable innovations. |