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

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

View source: R/ARIMA-trellis.R

Description

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

Usage

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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 (rmh@temple.edu)

See Also

arima.diag in S-Plus.

Examples

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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={})

Example output

Loading required package: lattice
Loading required package: grid
Loading required package: latticeExtra
Loading required package: multcomp
Loading required package: mvtnorm
Loading required package: survival
Loading required package: TH.data
Loading required package: MASS

Attaching package:TH.dataThe following object is masked frompackage:MASS:

    geyser

Loading required package: gridExtra
NULL

HH documentation built on Nov. 28, 2020, 9:06 a.m.

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