MTS: Kronid – R documentation

Pricing

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

Get Started for Free

Documentation

MTS

Kronid

Kronecker Index Identification

Description

Find the Kronecker indices of a k-dimensional time series

Usage

Kronid(x, plag = 5, crit = 0.05)

Arguments

`x`	Data matrix (T-by-k) of a k-dimensional time series
`plag`	The number of lags used to represent the past vector. Default is 5.
`crit`	Type-I error used in testing for zero canonical correlations. Deafult is 0.05.

Value

`index`	Kronecker indices
`tests`	Chi-square test statistics

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Examples

phi=matrix(c(0.2,-0.6,.3,1.1),2,2); sigma=diag(2); theta=-0.5*sigma
m1=VARMAsim(300,arlags=c(1),malags=c(1),phi=phi,theta=theta,sigma=sigma)
zt=m1$series
Kronid(zt)

MTS

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8