| 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 | |