portes

Portmanteau Tests for Time Series Models

Last update: 18 June 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.04, 1.07, 1.08, 2-1, 2.1-1, 2.1-3, 2.1-4, 3.0, 5.0, 6.0

Description

Contains common univariate and multivariate portmanteau test statistics for time series models. These tests are based on using asymptotic distributions such as chi-square distribution and based on using the Monte Carlo significance tests. Also, it can be used to simulate from univariate and multivariate seasonal time series models.

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