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
See Also
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={})
# }
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