ToeplitzBlock {portes} | R Documentation |
Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices
Description
Block Toeplitz matrix of order m+1
with k\times k
auto-cross correlation matrices.
The Hosking (1980) definition of the correlation matrix is used.
This is needed for the function MahdiMcLeod
.
Usage
ToeplitzBlock(res,Maxlag)
Arguments
res |
residuals, numeric or matrix. |
Maxlag |
an integer number = |
Value
A block Toeplitz matrix of auto and cross correlation matrices using Hosking (1980) definition
from lag
= 0
to lag
= m
.
Author(s)
Esam Mahdi and A.I. McLeod.
References
Hosking, J. R. M. (1980). "The Multivariate Portmanteau Statistic". Journal of American Statistical Association, 75, 602-608.
Lin, J.-W. and McLeod, A.I. (2006). "Improved Generalized Variance Portmanteau Test". Computational Statistics and Data Analysis, 51, 1731-1738.
Mahdi, E. and McLeod, A.I. (2011, accepted). "Improved Multivariate Portmanteau Test". Journal of Time Series Analysis. (JTSA - 3192).
See Also
Examples
x <- rnorm(100)
ToeplitzBlock(x,Maxlag=4) ## Univariate Series
#
y <- cbind(rnorm(100),rnorm(100))
ToeplitzBlock(y,Maxlag=4) ## Multivariate Series