GetResiduals: Extract Residuals from ARIMA, VAR, or any Simulated Fitted...

In portes: Portmanteau Tests for Time Series Models

Extract Residuals from ARIMA, VAR, or any Simulated Fitted Time Series Model

Description

This utility function is useful to use in the portmanteau functions, BoxPierce, MahdiMcLeod, Hosking, LiMcLeod, LjungBox, and portest. GetResiduals() function takes a fitted time-series object with class "ar", "arima0", "Arima", ("ARIMA forecast ARIMA Arima"), "lm", ("glm" "lm"), "varest", or "list". and returns the residuals and the order from the fitted object.

Usage

GetResiduals(obj)

Arguments

obj	a fitted time-series model with class "ar", "arima0", "Arima", ("ARIMA forecast ARIMA Arima"), "lm", ("glm" "lm"), "varest", or "list".

Value

List of order of fitted time series model and residuals from this model.

Author(s)

Esam Mahdi and A.I. McLeod.

See Also

ar, ar.ols, ar.burg, ar.yw, ar.mle, arima0, arima, Arima, auto.arima, lm, glm, VAR, BoxPierce, LjungBox, MahdiMcLeod, Hosking, LiMcLeod.

Examples

fit <- arima(Nile, c(1, 0, 1))
GetResiduals(fit)

portes documentation built on July 9, 2023, 5:07 p.m.