Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: multi
See also: normalt

Quantlet: portmant
Description: calculates the multivariate portmanteau statistic

Usage: d = portmant(b,resva,tb,te,t,di,ord,adj,h,df,typ,ts,outp)
Input:
b matrix
resva matrix, variance of rediduals
tb integer, (time) begin
te integer, (time) end
t integer, number of observation time points
di integer, dimension of time series
ord integer, order of series
adj scalar, 1=if adjusted, 0=if not
h integer, forecast horizon
df integer, degrees of freedom
typ integer, describing the model type
ts matrix
outp matrix
Output:
d matrix

Library: multi
See also: normalt

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Hafner, Sperlich 971212
(C) MD*TECH Method and Data Technologies, 21.9.2000