| Eccm {MTS} | R Documentation |
Extended Cross-Correlation Matrices
Description
Compute the extended cross-correlation matrices and the associated two-way table of p-values of multivariate Ljung-Box statistics of a vector time series.
Usage
Eccm(zt, maxp = 5, maxq = 6, include.mean = FALSE, rev = TRUE)
Arguments
zt |
Data matrix (T-by-k) of a vector time series, where T is the sample size and k is the dimension. |
maxp |
Maximum AR order entertained. Default is 5. |
maxq |
Maximum MA order entertained. Default is 6. |
include.mean |
A logical switch controlling the mean vector in estimation. Default assumes zero mean. |
rev |
A logical switch to control the cross-correlation matrices used to compute the multivariate Ljung-Box statistics. Traditional way is to compute test statistics from lag-1 to lag-m. If rev = TRUE, then the test statistics are compute from lag-(m-1) to lag-m, from lag-(m-2) to lag-m, etc. |
Value
pEccm |
A two-way table of the p-values of extended cross-correlation matrices |
vEccm |
The sample extended cross-correlation matrices |
ARcoef |
AR coefficient matrices of iterated VAR fitting |
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
Examples
zt=matrix(rnorm(900),300,3)
m1=Eccm(zt)