checkresiduals

0th

Percentile

Check that residuals from a time series model look like white noise

If plot=TRUE, produces a time plot of the residuals, the corresponding ACF, and a histogram. If the degrees of freedom for the model can be determined and test is not FALSE, the output from either a Ljung-Box test or Breusch-Godfrey test is printed.

Usage
checkresiduals(object, lag, df = NULL, test, plot = TRUE, ...)
Arguments
object

Either a time series model, a forecast object, or a time series (assumed to be residuals).

lag

Number of lags to use in the Ljung-Box or Breusch-Godfrey test. If missing, it is set to min(10,n/5) for non-seasonal data, and min(2m, n/5) for seasonal data, where n is the length of the series, and m is the seasonal period of the data. It is further constrained to be at least df+3 where df is the degrees of freedom of the model. This ensures there are at least 3 degrees of freedom used in the chi-squared test.

df

Number of degrees of freedom for fitted model, required for the Ljung-Box or Breusch-Godfrey test. Ignored if the degrees of freedom can be extracted from object.

test

Test to use for serial correlation. By default, if object is of class lm, then test="BG". Otherwise, test="LB". Setting test=FALSE will prevent the test results being printed.

plot

Logical. If TRUE, will produce the plot.

...

Other arguments are passed to ggtsdisplay.

Value

None

See Also

ggtsdisplay, Box.test, bgtest

Aliases
  • checkresiduals
Examples
# NOT RUN {
fit <- ets(WWWusage)
checkresiduals(fit)

# }
Documentation reproduced from package forecast, version 8.5, License: GPL-3

Community examples

Looks like there are no examples yet.