All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

[Up] [Top]

Documentation for package ‘MTS’ version 1.2.1

Help Pages

A B C D E F G H I K L M P Q R S T V

MTS-package Multivariate Time Series

-- A --

apca Asymptotic Principal Component Analysis
archTest ARCH test for univariate time series

-- B --

backtest Backtesting of a scalar ARIMA model
BEKK11 BEKK Model
Btfm2 Back-Test of a Transfer Function Model with Two Input Variables
BVAR Bayesian Vector Autoregression

-- C --

ccm Cross-Correlation Matrices
comVol Common Volatility
Corner Compute the Corner table for transfer function model specification

-- D --

dccFit Dynamic Cross-Correlation Model Fitting
dccPre Preliminary Fitting of DCC Models
diffM Difference of multivariate time series

-- E --

Eccm Extended Cross-Correlation Matrices
ECMvar Error-Correction VAR Models
ECMvar1 Error-Correction VAR Model 1
EWMAvol Exponentially Weighted Moving-Average Volatility

-- F --

FEVdec Forecast Error Variance Decomposition

-- G --

GrangerTest Granger Causality Test

-- H --

hfactor Constrained Factor Model

-- I --

ibmspko Monthly simple returns of the stocks of International Business Machines (IBM) and Coca Cola (KO) and the S&P Composite index (SP)

-- K --

Kronfit Fitting a VARMA Model via Kronecker Index
Kronid Kronecker Index Identification
Kronpred Prediction of a fitted VARMA model via Kronfit, using Kronecker indices
Kronspec Kronecler Index Specification

-- L --

Lminv MTS Internal Functions

-- M --

MarchTest Multivariate ARCH test
MCHdiag Multivariate Conditional Heteroscedastic Model Checking
MCholV Multivariate Cholesky Volatility Model
mFilter MTS Internal Functions
Mlm Multivariate Linear Model
mq Multivariate Ljung-Box Q Statistics
msqrt Square Root Matrix
mtCopula Multivariate t-Copula Volatility Model
MTS Multivariate Time Series
MTSdiag Multivariate Time Series Diagnostic Checking
MTSplot Multivariate Time Series Plot
Mtxprod Polynomial Matrix Product
Mtxprod1 Alternative Polynomial Matrix Product

-- P --

PIwgt Pi Weight Matrices
PSIwgt Psi Wights Matrices

-- Q --

qgdp Quarterly real gross domestic products of United Kingdom, Canada, and the United States

-- R --

refECMvar Refining Error-Correction Model for VAR series
refECMvar1 Refining ECM for a VAR process
refKronfit Refining VARMA Estimation via Kronecker Index Approach
refREGts Refining a Regression Model with Time Series Errors
refSCMfit Refining Estimation of VARMA Model via SCM Approach
refsVARMA Refining a Seasonal VARMA Model
refVAR Refining a VAR Model
refVARMA Refining VARMA Estimation
refVARs MTS Internal Functions
refVARX Refining a VARX Model
refVMA Refining VMA Models
refVMAe Refining VMA Estimation via the Exact Likelihood Method
refVMAs MTS Internal Functions
REGts Regression Model with Time Series Errors
REGtspred Prediction of a fitted regression model with time series errors
revmq MTS Internal Functions
RLS Recursive Least Squares

-- S --

SCCor Sample Constrained Correlations
SCMfit Scalar Component Model Fitting
SCMid Scalar Component Identification
SCMid2 Scalar Component Model Specification II
SCMmod Scalar Component Model specification
sVARMA Seasonal VARMA Model Estimation
sVARMACpp Seasonal VARMA Model Estimation (Cpp)
sVARMApred Prediction of a fitted multiplicative seasonal VARMA model
SWfore Stock-Watson Diffusion Index Forecasts

-- T --

tenstocks Monthly simple returns of ten U.S. stocks
tfm Transfer Function Model
tfm1 Transfer Function Model with One Input
tfm2 Transfer Function Model with Two Input Variables

-- V --

VAR Vector Autoregressive Model
VARchi MTS Internal Functions
VARecm MTS Internal Functions
VARfore MTS Internal Functions
VARirf MTS Internal Functions
VARMA Vector Autoregressive Moving-Average Models
VARMAcov Autocovariance Matrices of a VARMA Model
VARMACpp Vector Autoregressive Moving-Average Models (Cpp)
VARMAirf Impulse Response Functions of a VARMA Model
VARMApred VARMA Prediction
VARMAsim Generating a VARMA Process
VARorder VAR Order Specification
VARorderI VAR order specification I
VARpred VAR Prediction
VARpsi VAR Psi-weights
VARs VAR Model with Selected Lags
VARX VAR Model with Exogenous Variables
VARXirf Impluse response function of a fitted VARX model
VARXorder VARX Order Specification
VARXpred VARX Model Prediction
Vech Half-Stacking Vector of a Symmetric Matrix
VechM Matrix constructed from output of the Vech Command. In other words, restore the original symmetric matrix from its half-stacking vector.
VMA Vector Moving Average Model
VMACpp Vector Moving Average Model (Cpp)
VMAe VMA Estimation with Exact likelihood
VMAorder VMA Order Specification
VMApred MTS Internal Functions
VMAs VMA Model with Selected Lags
Vmiss VARMA Model with Missing Value
Vpmiss Partial Missing Value of a VARMA Series