MTS: diffM – R documentation

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diffM

Difference of multivariate time series

Performs the difference operation of a vector time series

diffM(zt, d = 1)

`zt`	A vector time series (T by k, with sample size T and dimension k)
`d`	Order of differencing. Default is d=1.

When d = 1, the command is equivalent to apply(zt,2,diff)

The differenced time series

Ruey S Tsay

data("mts-examples",package="MTS")
zt=log(qgdp[,3:5])
xt=diffM(zt)

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