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**TSA**: Time Series Analysis**tsdiag.Arima**: Model Diagnostics for a Fitted ARIMA Model

# Model Diagnostics for a Fitted ARIMA Model

### Description

This function is modified from the tsdiag function of the stats package.

### Usage

1 2 |

### Arguments

`object` |
a fitted ARIMA model |

`gof.lag` |
maximum lag used in ACF and Ljung-Box tests for the residuals |

`tol` |
tolerance (default=0.1); see below |

`col` |
color of some warning lines in the figures (default=red) |

`omit.initial` |
suppress the initial (d+Ds) residuals if true |

`...` |
other arguments to be passed to the acf function |

### Value

Side effects: Plot the time plot of the standardized residuals. Red dashed line at +/-qnorm(0.025/no of data) are added to the plot. Data beyond these lines are deemed outliers, based on the Bonferronni rule. The ACF of the standardized residuals is plotted. The p-values of the Ljung-Box test are plotted using a variety of the first K residuals. K starts at the lag on and beyond which the moving-average weights (in the MA(infinity) representation) are less than tol.

### Author(s)

Kung-Sik Chan, based on the tsdiag function of the stats pacakage

### Examples

1 2 3 |

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- acf: Auto- and Cross- Covariance and -Correlation Function...
- acf: Auto- and Cross- Covariance and -Correlation Function...
- airmiles: Monthly Airline Passenger-Miles in the US
- airmiles: Monthly Airline Passenger-Miles in the US
- airpass: Monthly total international airline passengers
- airpass: Monthly total international airline passengers
- ar1.2.s: A simulated AR(1) series
- ar1.2.s: A simulated AR(1) series
- ar1.s: A simulated AR(1) series
- ar1.s: A simulated AR(1) series
- ar2.s: Asimulated AR(2) series / time series
- ar2.s: Asimulated AR(2) series / time series
- arima: Fitting an ARIMA model with Exogeneous Variables
- arima: Fitting an ARIMA model with Exogeneous Variables
- arima.boot: Compute the Bootstrap Estimates of an ARIMA Model
- arima.boot: Compute the Bootstrap Estimates of an ARIMA Model
- arimax: Fitting an ARIMA model with Exogeneous Variables
- arimax: Fitting an ARIMA model with Exogeneous Variables
- arma11.s: A Simulated ARMA(1,1) Series/ time series
- arma11.s: A Simulated ARMA(1,1) Series/ time series
- ARMAspec: Theoretical spectral density function of a stationary ARMA...
- ARMAspec: Theoretical spectral density function of a stationary ARMA...
- armasubsets: Selection of Subset ARMA Models
- armasubsets: Selection of Subset ARMA Models
- beersales: Monthly beer sales / time series
- beersales: Monthly beer sales / time series
- bluebird: Blue Bird Potato Chip Data
- bluebird: Blue Bird Potato Chip Data
- bluebirdlite: Bluebird Lite potato chip data
- bluebirdlite: Bluebird Lite potato chip data
- boardings: Monthly public transit boardings and gasoline price in Denver
- boardings: Monthly public transit boardings and gasoline price in Denver
- BoxCox.ar: Determine the power transformation for serially correlated...
- BoxCox.ar: Determine the power transformation for serially correlated...
- co2: Levels of Carbon Dioxide at Alert, Canada / Time series
- co2: Levels of Carbon Dioxide at Alert, Canada / Time series
- color: Color property/time series
- color: Color property/time series
- CREF: Daily CREF Values
- CREF: Daily CREF Values
- cref.bond: Daily CREF Bond Values
- cref.bond: Daily CREF Bond Values
- days: Number of days between payment to Winegard Corp. / time...
- deere1: Deviations of an industrial process at Deere & Co. - Series 1
- deere1: Deviations of an industrial process at Deere & Co. - Series 1
- deere2: Deviations of an industrial process at Deere & Co. - Series 2
- deere2: Deviations of an industrial process at Deere & Co. - Series 2
- deere3: Deviations of an industrial process at Deere & Co. - Series 3
- deere3: Deviations of an industrial process at Deere & Co. - Series 3
- detectAO: Additive Outlier Detection
- detectAO: Additive Outlier Detection
- detectIO: Innovative Outlier Detection
- detectIO: Innovative Outlier Detection
- eacf: Compute the sample extended acf (ESACF)
- eacf: Compute the sample extended acf (ESACF)
- eeg: EEG Data
- eeg: EEG Data
- electricity: Monthly US electricity production / time series
- electricity: Monthly US electricity production / time series
- euph: A digitized sound file of a B flat played on a euphonium
- euph: A digitized sound file of a B flat played on a euphonium
- explode.s: A simulated explosive AR(1) series
- explode.s: A simulated explosive AR(1) series
- fitted.Arima: Fitted values of an arima model.
- fitted.Arima: Fitted values of an arima model.
- flow: Monthly River Flow for the Iowa River
- flow: Monthly River Flow for the Iowa River
- garch.sim: Simulate a GARCH process
- garch.sim: Simulate a GARCH process
- gBox: Generalized Portmanteau Tests for GARCH Models
- gBox: Generalized Portmanteau Tests for GARCH Models
- gold: Gold Price / time series
- gold: Gold Price / time series
- google: Daily returns of the google stock
- google: Daily returns of the google stock
- hare: Canadian hare data/ time series
- hare: Canadian hare data/ time series
- harmonic: Construct harmonic functions for fitting harmonic trend model
- harmonic: Construct harmonic functions for fitting harmonic trend model
- hours: Average hours worked in US manufacturing sector / time series
- hours: Average hours worked in US manufacturing sector / time series
- ima22.s: Simulated IMA(2,2) series / time series
- ima22.s: Simulated IMA(2,2) series / time series
- JJ: Quarterly earnings per share for the Johnson & Johnson...
- JJ: Quarterly earnings per share for the Johnson & Johnson...
- Keenan.test: Keenan's one-degree test for nonlinearity
- Keenan.test: Keenan's one-degree test for nonlinearity
- kurtosis: Kurtosis
- kurtosis: Kurtosis
- lagplot: Lagged Regression Plot
- lagplot: Lagged Regression Plot
- larain: Annual rainfall in Los Angeles / time series
- larain: Annual rainfall in Los Angeles / time series
- LB.test: Portmanteau Tests for Fitted ARIMA models
- LB.test: Portmanteau Tests for Fitted ARIMA models
- ma1.1.s: A simulated MA(1) series / time series
- ma1.1.s: A simulated MA(1) series / time series
- ma1.2.s: A simulated MA(1) series / time series
- ma1.2.s: A simulated MA(1) series / time series
- ma2.s: A simulated MA(2) series
- ma2.s: A simulated MA(2) series
- McLeod.Li.test: McLeod-Li test
- McLeod.Li.test: McLeod-Li test
- milk: Monthly Milk Production
- milk: Monthly Milk Production
- oilfilters: Monthly sales to dealers of a specialty oil filter/time...
- oil.price: Monthly Oil Price / time series
- oil.price: Monthly Oil Price / time series
- periodogram: Computing the periodogram
- periodogram: Computing the periodogram
- plot1.acf: Plot1
- plot1.acf: Plot1
- plot.Arima: Compute and Plot the Forecasts Based on a Fitted Time Series...
- plot.Arima: Compute and Plot the Forecasts Based on a Fitted Time Series...
- plot.armasubsets: Plot the Best Subset ARMA models
- plot.armasubsets: Plot the Best Subset ARMA models
- predict.TAR: Prediction based on a fitted TAR model
- predict.TAR: Prediction based on a fitted TAR model
- prescrip: Cost per prescription / time series
- prescrip: Cost per prescription / time series
- prewhiten: Prewhiten a Bivariate Time Series, and Compute and Plot Their...
- prewhiten: Prewhiten a Bivariate Time Series, and Compute and Plot Their...
- prey.eq: Prey series / time series
- prey.eq: Prey series / time series
- qar.sim: Simulate a first-order quadratic AR model
- qar.sim: Simulate a first-order quadratic AR model
- retail: U.K. retail sales / time series
- retail: U.K. retail sales / time series
- robot: The distance of a robot from a desired position / time series
- robot: The distance of a robot from a desired position / time series
- rstandard.Arima: Compute the Standardized Residuals from a Fitted ARIMA Model
- rstandard.Arima: Compute the Standardized Residuals from a Fitted ARIMA Model
- runs: Runs test
- runs: Runs test
- rwalk: A simulated random walk / Time series
- rwalk: A simulated random walk / Time series
- season: Extract the season info from a time series
- season: Extract the season info from a time series
- skewness: Skewness
- skewness: Skewness
- SP: Quarterly Standard & Poor's Composite Index of stock price...
- SP: Quarterly Standard & Poor's Composite Index of stock price...
- spec: Computing the spectrum
- spec: Computing the spectrum
- spots: Relative annual sunspot number / time series
- spots: Relative annual sunspot number / time series
- spots1: Annual international sunspot numbers
- spots1: Annual international sunspot numbers
- star: Star Brightness
- star: Star Brightness
- summary.armasubsets: Summary of output from the armasubsets function
- summary.armasubsets: Summary of output from the armasubsets function
- tar: Estimation of a TAR model
- tar: Estimation of a TAR model
- tar.sim: Simulate a two-regime TAR model
- tar.sim: Simulate a two-regime TAR model
- tar.skeleton: Find the asympotitc behavior of the skeleton of a TAR model
- tar.skeleton: Find the asympotitc behavior of the skeleton of a TAR model
- tbone: A digitized sound file of a B flat played on a tenor trombone
- tbone: A digitized sound file of a B flat played on a tenor trombone
- tempdub: Monthly average temperature in Dubuque/time series
- tempdub: Monthly average temperature in Dubuque/time series
- tlrt: Likelihood ratio test for threshold nonlinearity
- tlrt: Likelihood ratio test for threshold nonlinearity
- TSA-package: Time Series Analysis
- TSA-package: Time Series Analysis
- Tsay.test: Tsay's Test for nonlinearity
- Tsay.test: Tsay's Test for nonlinearity
- tsdiag.Arima: Model Diagnostics for a Fitted ARIMA Model
- tsdiag.Arima: Model Diagnostics for a Fitted ARIMA Model
- tsdiag.TAR: Model diagnostics for a fitted TAR model
- tsdiag.TAR: Model diagnostics for a fitted TAR model
- tuba: A digitized sound file of a B flat played on a BB flat tuba
- tuba: A digitized sound file of a B flat played on a BB flat tuba
- units: Annual sales of certain large equipment
- units: Annual sales of certain large equipment
- usd.hkd: Daily US Dollar to Hong Kong Dollar Exchange Rates
- usd.hkd: Daily US Dollar to Hong Kong Dollar Exchange Rates
- veilleux: An experimental prey-predator time series
- veilleux: An experimental prey-predator time series
- wages: Average hourly wages in the apparel industry / time series
- wages: Average hourly wages in the apparel industry / time series
- winnebago: Monthly unit sales of recreational vehicles / time series
- winnebago: Monthly unit sales of recreational vehicles / time series
- zlag: Compute the lag of a vector.
- zlag: Compute the lag of a vector.