Portmanteau Tests for Univariate and Multivariate Time. Series
Models
Simulate a univariate and multivariate data from seasonal and nonseasonal time series models. It implements the popular univariate and multivariate portmanteau test statistics based on the asymptotic distributions and the Monte Carlo significance tests.
akima, car, fGarch, FitAR, fracdiff, gstat, TSA, tseries,
vars

c(person("Esam", "Mahdi", role = c("aut", "cre"),
email = "emahdi@qu.edu.qa"),
person("Ian", "McLeod", role = "ctb",
email = "aimcleod@uwo.ca"))
Contains common univariate and multivariate portmanteau test statistics in time series based on the asymptotic distributions and the Monte Carlo significance tests. Simulate univariate and multivariate data from seasonal and nonseasonal time series models. See Mahdi and McLeod (2012) <doi:10.1111/j.1467-9892.2011.00752.x> and
Mahdi and McLeod (2020) <arXiv:2005.00931>.
akima, car, fGarch, FitAR, fracdiff, gstat, tseries, vars

Jeff Enos <jeff@kanecap.com> and David Kane <dave@kanecap.com>
Classes for analysing and implementing portfolios.

R (>= 2.0.0), methods, graphics, grid, lattice

Jeff Enos <jeff@kanecap.com> and David Kane <dave@kanecap.com>, with contributions from Daniel Gerlanc <daniel@gerlanc.com> and Kyle Campbell <Kyle.W.Campbell@williams.edu>
Classes for analysing and implementing equity portfolios.
R (>= 2.0.0), methods, graphics, grid, lattice, nlme

R (>= 2.4.0), methods, graphics, grid, lattice, nlme

Jeff Enos <jeff@kanecap.com> and David Kane <dave@kanecap.com>,
with contributions from Daniel Gerlanc <daniel@gerlanc.com> and
Kyle Campbell <Kyle.W.Campbell@williams.edu>
R (>= 2.10), methods, graphics, grid, lattice, nlme

Jeff Enos <jeff@kanecap.com> and David Kane <dave@kanecap.com>,
with contributions from Daniel Gerlanc <dgerlanc@gmail.com> and
Kyle Campbell <Kyle.W.Campbell@williams.edu>
R (>= 3.0), methods, graphics, grid, lattice

c(
person(
"Jeff",
"Enos",
role="aut",
email="jeff@kanecap.com"),
person(
"David",
"Kane",
role="aut",
email="dave@kanecap.com"),
person(
"Daniel",
"Gerlanc",
role=c("aut", "cre"),
email="dan@gerlanc.com"),
person(
"Kyle",
"Campbell",
role="ctb",
email="Kyle.W.Campbell@williams.edu"))
Classes for analysing and implementing equity portfolios,
including routines for generating tradelists and calculating
exposures to user-specified risk factors.
R (>= 3.0), graphics, grid, lattice, methods
Jeff Enos [aut],
David Kane [aut],
Daniel Gerlanc [aut, cre],
Kyle Campbell [ctb]