tsdiag

0th

Percentile

Diagnostic Plots for Time-Series Fits

A generic function to plot time-series diagnostics.

Keywords
ts
Usage
tsdiag(object, gof.lag, ...)
Arguments
object
a fitted time-series model
gof.lag
the maximum number of lags for a Portmanteau goodness-of-fit test
...
further arguments to be passed to particular methods
Details

This is a generic function. It will generally plot the residuals, often standardized, the autocorrelation function of the residuals, and the p-values of a Portmanteau test for all lags up to gof.lag.

The methods for arima and StructTS objects plots residuals scaled by the estimate of their (individual) variance, and use the Ljung--Box version of the portmanteau test.

Value

  • None. Diagnostics are plotted.

See Also

arima, StructTS, Box.test

Aliases
  • tsdiag
  • tsdiag.arima0
  • tsdiag.Arima
  • tsdiag.StructTS
Examples
library(stats) require(graphics) fit <- arima(lh, c(1,0,0)) tsdiag(fit) ## see also examples(arima) (fit <- StructTS(log10(JohnsonJohnson), type = "BSM")) tsdiag(fit)
Documentation reproduced from package stats, version 3.3, License: Part of R 3.3

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