gof.calculation

0th

Percentile

Calculate Box--Ljung Goodness of Fit for ARIMA models in S-Plus.

Calculate Box--Ljung Goodness of Fit for ARIMA models in S-Plus. In R we use the Box.test function.

Keywords
ts
Usage
gof.calculation(acf.list, gof.lag, n, n.parms)
Arguments
acf.list
An "acf" object.
gof.lag
The number of model parameters is the number of lags to use for computing the Portmanteau goodness of fit statistic
n
Number of residuals in model.
n.parms
Number of AR and MA parameters in the model.
Details

This function is isolated from the S-Plus arima.diag function. It is used only in S-Plus.

Value

  • See the gof value described in arima.diag in S-Plus.

See Also

arima.diag in S-Plus.

Aliases
  • gof.calculation
Examples
if.R(s={
co2.arima <- arima.mle(co2, list(list(order=c(0,1,1)),
                                 list(order=c(0,1,1), period=12)))
co2.acf <- acf(resid(co2.arima), plot=FALSE, lag=40)
co2.gof <- gof.calculation(co2.acf, 36, length(co2), 2)
xyplot(p.value ~ lag, data=co2.gof, panel=panel.gof,
       ylim=range(0, co2.gof$p.value))
},r={})
Documentation reproduced from package HH, version 2.1-12, License: GPL (>= 2)

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