aTSA (version 3.1.2)

ts.diag: Diagnostics for ARIMA fits

Description

Performs diagnostics for ARIMA model fitted by arima or estimate with output of diagnostic plots.

Usage

ts.diag(object, lag.seq = NULL)

Arguments

object
the result of an arima or estimate fit.
lag.seq
the sequence of lag to calculate the Ljung-Box test statistics. The default is NULL.

Value

A matrix for the result of white noise checking by Ljung-Box test.

Details

This function is similar to ts.diag in stats package, but with one more diagnostic plot for the normality of residuals. Also, the default sequence of lags for a Ljung-Box test is set to be seq(4,24,by = 4) if sample size $n > 24$, otherwise seq(1,n,4). This function has been automatically implemented in estimate function.

Diagnostics are plotted, including the ACF plot, PACF plot, p.value of white noise checking plot, and Q-Q plot for residuals.

Examples

x <- arima.sim(list(order = c(3,0,0),ar = c(0.2,0.4,-0.15)),n = 100)
fit <- estimate(x,p = 3) # same as fit <- arima(x,order = c(3,0,0))
ts.diag(fit)