Portmanteau Test for Normal and Stable innovations


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Documentation for package `PRTest' version 1.0

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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.