R Observatory: Metrics for MTS version 1.2.1

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

MTS

1.2.1Package record

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

2packages dependsuggested by 3

38.1Kdownloads / year

–test coverage

11/13flavors OK

Overview

About

Maintained by Ruey S. TsayCRAN page ↗

Multivariate Time Series (MTS) is a general package for analyzing multivariate linear time series and estimating multivariate volatility models. It also handles factor models, constrained factor models, asymptotic principal component analysis commonly used in finance and econometrics, and principal volatility component analysis. (a) For the multivariate linear time series analysis, the package performs model specification, estimation, model checking, and prediction for many widely used models, including vector AR models, vector MA models, vector ARMA models, seasonal vector ARMA models, VAR models with exogenous variables, multivariate regression models with time series errors, augmented VAR models, and Error-correction VAR models for co-integrated time series. For model specification, the package performs structural specification to overcome the difficulties of identifiability of VARMA models. The methods used for structural specification include Kronecker indices and Scalar Component Models. (b) For multivariate volatility modeling, the MTS package handles several commonly used models, including multivariate exponentially weighted moving-average volatility, Cholesky decomposition volatility models, dynamic conditional correlation (DCC) models, copula-based volatility models, and low-dimensional BEKK models. The package also considers multiple tests for conditional heteroscedasticity, including rank-based statistics. (c) Finally, the MTS package also performs forecasting using diffusion index , transfer function analysis, Bayesian estimation of VAR models, and multivariate time series analysis with missing values.Users can also use the package to simulate VARMA models, to compute impulse response functions of a fitted VARMA model, and to calculate theoretical cross-covariance matrices of a given VARMA model.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("MTS", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-mts

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-MTS

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-MTS

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

2NOTE11OK

Check messages

NOTECRAN incoming feasibilityr-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc

Maintainer: ‘Ruey S. Tsay <ruey.tsay@chicagobooth.edu>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = c("Ruey", "S."),
                      family = "Tsay",
                      role = c("aut", "cre"),
                      email = "ruey.tsay@chicagobooth.edu"),
               person(given = "David",
                      family = "Wood",
                      role = "aut"),
               person(given = "Jon",
                      family = "Lachmann",
                      role = "ctb"))
as necessary.

CRAN check page ↗

Slowest check: 4.9 min · r-oldrel-windows-x86_64

Status changes

NOTE11 OK, 2 NOTE2026-09-08
ERROR10 OK, 2 NOTE, 1 ERROR2026-09-07
NOTE10 OK, 4 NOTE2026-04-22
ERROR9 OK, 4 NOTE, 1 ERROR2026-04-18
NOTE10 OK, 4 NOTE2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

Documentation signals are not tracked yet for this package.

Websitenot tracked

How these are measured

Downloads

38.1K

CRAN downloads in the past year

Rank #2,286 · ~104/day · ~3.2K/mo

MTS Releases R versions

Daily download trend is not available in this view yet.

4.1K30 days

7.4K90 days

38.1K1 year

Compare downloads with other packages →

Also on425 r2u6 autocran137 c2d4u

How downloads are counted

Dependencies

Declared dependencies

6 external dependencies (excludes base and recommended)

Installing MTS adds 14 packages (8 with compiled code, 9.7 MB of source tarballs). Heaviest: Rcpp 1.8 MB, RcppEigen 1.7 MB, timeSeries 1.4 MB.

Depends (0)

none

Imports (4)

Rcpp fGarch fBasics mvtnorm

LinkingTo (2)

Rcpp RcppEigen

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

2direct

0indirect

Imports 2

Suggested by 3

Depends, Imports or LinkingTo, most downloaded first

multDM SteadyStateBVAR

Suggests, most downloaded first

fable StMoMo tsBSS

How these are counted

Code & Tests

Datasets

People & History

People (0)

Author records are not tracked yet for this package.

Maintainer since 0.32 (2014)

Listed in earlier versions (3)

Show 3 peopleHide 3 people

Ruey S. Tsay

no longer listed · 0.32 to 1.2.1

David Wood

no longer listed · 1.0 to 1.2.1

Jon Lachmann

no longer listed · 1.1.1 to 1.2.1

Releases (6)

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
unarchivedReturned to CRAN
2022-04-11
1.2.1Latest
record
2022-04-11 · current release · diff ↗
archivedRemoved from CRAN
2022-03-31
check problems were not corrected in time
1.1.1
record
2022-03-02 · diff ↗
1.0.3
record
2021-06-04 · diff ↗ ·
removed 1 export
pattern:^[^\\.]

added 87 exports
apca, archTest, backtest, BEKK11, Btfm2, BVAR, ccm, comVol, Corner, dccFit, dccPre, diffM, Eccm, ECMvar, ECMvar1, EWMAvol, FEVdec, GrangerTest, hfactor, Kronfit, Kronid, Kronpred, Kronspec, MarchTest, MCHdiag, MCholV, Mlm, mq, msqrt, mtCopula and 57 more
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
R
R 3.6.0 released · 2019-04-26
1.0
record
2018-10-10 · diff ↗
R
R 3.5.0 released · 2018-04-23
R
R 3.4.0 released · 2017-04-21

Show 6 earlier eventsHide 6 earlier events

R
R 3.3.0 released · 2016-05-03
R
R 3.2.0 released · 2015-04-16
0.33
record
2015-02-12 · diff ↗
R
R 3.1.0 released · 2014-04-10
0.32
record
2014-03-01
R
R 3.0.0 released · 2013-04-03

Package metadata

First published: 2014-03-01
Total releases: 6 / 12 yrs
License: Artistic License 2.0
Download size: 145 KB

Appears in task views

Time Series Analysis

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("MTS")

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for MTS version 1.2.1 [Data set]. HJJB, LLC. Data release v2026-10-19. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-19, which the citation names so these numbers can be found later. More on citing and the projects behind them.

Report a problem with this page →