pacfmat {tsapp}

pacfmat sequence of partial autocorrelation matrices and related statistics for a multivariate time series

Description

pacfmat sequence of partial autocorrelation matrices and related statistics for a multivariate time series

Usage

pacfmat(y, lag.max)

Arguments

y

multivariate time series

lag.max

maximum number of lag

Value

out list with components:

M

array with matrices of partial autocovariances divided by their standard error

M1

array with indicators if partial autocovariances are significantly greater (+), lower (-) than the critical value or insignificant (.)

R

array with matrices of partial autocovariances

S

matrix of diagonals of residual covariances (row-wise)

Test

test statistic

pval

p value of test

Examples

data(ICECREAM)
out <- pacfmat(ICECREAM,7)