PRTest-package {PRTest}R Documentation

Implements the Monte-Carlo testing methods discussed in the papers of Lin and McLeod (2006, 2007).

Description

Details

Package: PRTest
Type: Package
Version: 1.0
Date: 2007-05-16
License: GPL Version 2 or later

Author(s)

A.I. McLeod, aimcleod@uwo.ca

References

Lin, J.W. and McLeod, A.I. (2006). Improved Pena-Rodriguez Portmanteau Test. Computational Statistics and Data Analysis, 51, 1731-1738.

Lin, J.W. and McLeod, A.I. (2007, accepted). Portmanteau Tests for ARMA Models with Infinite Variance. Journal of Time Series Analysis.

Examples

#
#Gaussian Case, test AR(2) for adequacy
lynx.AR2<-arima(log(lynx), c(2,0,0))
PRTest(lynx.AR2)
#
#testing for randomness


[Package PRTest version 1.0 Index]