HH (version 2.2-23)

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

Description

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

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.

Value

  • See the gof value described in#ifndef S-Plus arima.diag #endif #ifdef S-Plus arima.diag #endif in S-Plus.

Details

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

See Also

#ifndef S-Plus arima.diag #endif #ifdef S-Plus arima.diag #endif in S-Plus.

Examples

Run this code
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={})

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