checkresiduals: Check that residuals from a time series model look like white...

In forecast: Forecasting Functions for Time Series and Linear Models

Check that residuals from a time series model look like white noise

Description

If plot=TRUE, produces a time plot of the residuals, the corresponding ACF, and a histogram. If test is not FALSE, the output from either a Ljung-Box test or Breusch-Godfrey test is printed.

Usage

checkresiduals(object, lag, test, plot = TRUE, ...)

Arguments

object	Either a time series model, a forecast object, or a time series (assumed to be residuals).
lag	Number of lags to use in the Ljung-Box or Breusch-Godfrey test. If missing, it is set to min(10,n/5) for non-seasonal data, and min(2m, n/5) for seasonal data, where n is the length of the series, and m is the seasonal period of the data. It is further constrained to be at least df+3 where df is the degrees of freedom of the model. This ensures there are at least 3 degrees of freedom used in the chi-squared test.
test	Test to use for serial correlation. By default, if object is of class lm, then test="BG". Otherwise, test="LB". Setting test=FALSE will prevent the test results being printed.
plot	Logical. If TRUE, will produce the plot.
...	Other arguments are passed to ggtsdisplay.

Value

None

Author(s)

Rob J Hyndman

See Also

ggtsdisplay, Box.test, bgtest

Examples

fit <- ets(WWWusage)
checkresiduals(fit)

forecast documentation built on June 22, 2024, 9:20 a.m.