论文标题
端口：时间序列模型中用于Portmanteau测试的R软件包
portes: An R Package for Portmanteau Tests in Time Series Models
论文作者
论文摘要
在本文中，我们介绍了带有广泛说明性应用程序的R包端口。此软件包中实现了使用强大的平行计算框架设施的时间序列模型的最流行单变量和多变量Portmanteau测试统计数据的渐近分布和蒙特卡洛程序。所提出的软件包具有一种通用机制，用户可以在其中计算测试统计量以进行任何时间序列模型的诊断检查。该软件包也可用于模拟单变量和多变量季节性和非季节性Arima/varima时间序列，具有有限和无限差异，测试平稳性和可逆性以及稳定分布的估算参数。
In this article, we introduce the R package portes with extensive illustrative applications. The asymptotic distributions and the Monte Carlo procedures of the most popular univariate and multivariate portmanteau test statistics, including a new generalized variance statistic, for time series models using the powerful parallel computing framework facility, are implemented in this package. The proposed package has a general mechanism where the user can compute the test statistic for the diagnostic checking of any time series models. This package is also useful for simulating univariate and multivariate seasonal and nonseasonal ARIMA/VARIMA time series with finite and infinite variances, testing for stationarity and invertibility, and estimating parameters from stable distributions.
