Main Content

Nonspherical Models

Model or correct effects of heteroscedasticity and correlation

Classes

arimaCreate univariate autoregressive integrated moving average (ARIMA) model
regARIMACreate regression model with ARIMA time series errors

Functions

autocorrSample autocorrelation
lbqtestLjung-Box Q-test for residual autocorrelation
parcorrSample partial autocorrelation
archtestEngle test for residual heteroscedasticity
hacHeteroscedasticity and autocorrelation consistent covariance estimators
fglsFeasible generalized least squares

Examples and How To

Concepts