MTS

1.2.1

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

5packages depend

51.3Kdownloads / year

–test coverage

11/13checks pass

Overview

About

Maintained by Ruey S. TsayFirst published 2014-03-016 releasesCRAN 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.

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).

Health

CRAN checks

2NOTE11OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-clang
NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 5.3 min · r-devel-linux-x86_64-fedora-clang

Code health

None

Tests · ratio 0.00

not tracked

Coverage

Documentation · exports

Dependencies · direct

Check history

NOTE2026-04-22
10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
9 OK · 4 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 32 wordsVignettesNopkgdown siteNoNEWSYes · 67% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: not tracked
Return-value docs: not tracked
References docs: 82%

Downloads

51.3K

CRAN downloads in the past year

Rank #2,836 · ~141/day · ~4.3K/mo

Releases R versions

Daily download trend is not available in this view yet.

1.3K30 days

6K90 days

51.3K1 year

Compare downloads with other packages →

Also on430 r2u32 autocran58 c2d4u

Dependencies

Declared dependencies

6 external dependencies (excludes base and recommended)

Depends (0)

none

Imports (4)

Rcpp fGarch fBasics mvtnorm

LinkingTo (2)

Rcpp RcppEigen

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

5direct

0indirect

multDM StMoMo combcoint fable tsBSS

Code & Tests

Code Composition

R 12,006 (70%)Rd 3,859 (22%)C++ 1,273 (7%)C 32 (0%)

Code characteristics

Cyclomatic complexity: 13.0 median / 165 max

Test coverage

Line coverage

–

Expression

–

Tests / Examples

–

Functions

140 0 exported

Complexity

20.2 avg / 165 max

Call network

140 nodes / 101 edges

Call graph

Open call graph →

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Lowest coverage

Per-function coverage is not measured for this package yet.

Datasets

Bundled datasets · 3

Name	Class	Rows × Cols	Also ships in
ibmspko	data.frame	612 × 4	–
qgdp	data.frame	126 × 5	–
tenstocks	data.frame	132 × 11	–

People & History

People (0)

Author records are not tracked yet for this package.

Listed in earlier versions (3)

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

Package Timeline

6 releases. Pick two to compare their code metrics. R releases are shown for context.

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
1.2.1Latest
2022-04-11 · current release · diff ↗
unarchivedReturned to CRAN
2022-04-11
archivedRemoved from CRAN
2022-03-31
check problems were not corrected in time
1.1.1
2022-03-02 · diff ↗
1.0.3
2021-06-04 · diff ↗
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
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 events

R
R 3.3.0 released · 2016-05-03
R
R 3.2.0 released · 2015-04-16
0.33
2015-02-12 · diff ↗
R
R 3.1.0 released · 2014-04-10
0.32
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
Bundled data: 25 KB / 1 file
Download size: 145 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Time Series Analysis

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