gof.calculation

From HH v3.1-42 by Richard Heiberger

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

Examples

# NOT RUN {
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 3.1-42, License: GPL (>= 2)

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