portes (version 1.08)

ToeplitzBlock: Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices

Description

Block Toeplitz matrix of order $m+1$ with $k\times k$ auto-cross correlation matrices. The Hosking (1980) definition of the correlation matrix is used. This function is needed for the function gvtest.

Usage

ToeplitzBlock(res,lag.max)

Arguments

res

residuals, numeric or matrix.

lag.max

an integer number = $m$ is used to determined the order of the block matrix.

Value

• A block Toeplitz matrix of auto and cross correlation matrices based on Hosking (1980) definition from lag = $0$ to lag = $m$.

References

Hosking, J. R. M. (1980). "The Multivariate Portmanteau Statistic". Journal of American Statistical Association, 75, 602-608. Lin, J.-W. and McLeod, A.I. (2006). "Improved Generalized Variance Portmanteau Test". Computational Statistics and Data Analysis, 51, 1731-1738. Mahdi, E. and McLeod, A.I. (2011). "Improved multivariate portmanteau diagnostic test". Submitted.

See Also

acf, gvtest, toeplitz

Examples

## Univariate Series
x <- rnorm(100)
ToeplitzBlock(x,lag.max=4)
## Multivariate Series
x <- cbind(rnorm(100),rnorm(100))
ToeplitzBlock(x,lag.max=4)