Extended Cross-Correlation Matrices
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.
Eccm(zt, maxp = 5, maxq = 6, include.mean = FALSE, rev = TRUE)
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. |
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 |
Ruey S. Tsay
Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
zt=matrix(rnorm(900),300,3) m1=Eccm(zt)
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