# gof.calculation: Calculate Box-Ljung Goodness of Fit for ARIMA models in... In HH: Statistical Analysis and Data Display: Heiberger and Holland

 gof.calculation R Documentation

## 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 (rmh@temple.edu)

`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 May 29, 2024, 6:24 a.m.