RacfPlot: Residual Autocorrelation Plot
In FitAR: Subset AR Model Fitting

Description Usage Arguments Details Value Note Author(s) References See Also Examples

Residual autocorrelation plot for "FitAR" objects. This plot is useful for diagnostic checking models fit with the function FitAR.

1	RacfPlot(obj, lag.max = 1000, SquaredQ=FALSE, ylab="")

`obj`	output from FitAR
`lag.max`	maximum lag. Set to 1000 since minimum of this value and the value in the `obj` is used.
`SquaredQ`	default is FALSE. For squared residual autocorrelations, set to TRUE
`ylab`	y-axis label

The standard deviations of the residual autocorrelations are obtained from McLeod (1978, eqn.16) or McLeod and Zhang (2006, eqn.16). Simultaneous confidence bounds are shown and constructed using the Bonferonni approximation as suggested by Hosking and Ravishanker (1993)

Plot is produced as a side-effect. No output

This function is normally invoked when plot.FitAR is used.

A.I. McLeod and Y. Zhang

Hosking, J.R.M. and Ravishanker, N. (1993) Approximate simultaneous significance intervals for residual autocorrelations of autoregressive-moving average time series models. Journal of Time Series Analysis 14, 19-26.

McLeod, A.I. (1978), On the distribution and applications of residual autocorrelations in Box-Jenkins modelling, Journal of the Royal Statistical Society B 40, 296-302.

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

plot.FitAR, FitAR,

#fit subset AR and plot diagnostic check
 data(SeriesA)
 out<-FitAR(SeriesA, c(1,2,7), ARModel="ARp")
 RacfPlot(out)
#note that plot produces LBQPlot and RacfPlot
 plot(out)
#check squared residuals
 RacfPlot(out, SquaredQ=TRUE)