gof.calculation: Calculate Box-Ljung Goodness of Fit for ARIMA models in...

In HH: Statistical Analysis and Data Display: Heiberger and Holland

Calculate Box–Ljung Goodness of Fit for ARIMA models in S-Plus.

Description

Calculate Box–Ljung Goodness of Fit for ARIMA models in S-Plus. In R we use the Box.test function.

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 arima.diag in S-Plus.

Author(s)

Richard M. Heiberger ([e-mail])

See Also

arima.diag in S-Plus.

Examples

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={})

HH documentation built on Aug. 9, 2022, 5:08 p.m.