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

In a1967fa/f-cast: Forecasting Functions for Time Series and Linear Models

Description

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

Usage

checkresiduals(object, lag, df = NULL, 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 max(10,df+3) for non-seasonal data, and max(2m, df+3) for seasonal data, where df is the degrees of freedom of the model, and m is the seasonal period of the data.
df	Number of degrees of freedom for fitted model, required for the Ljung-Box or Breusch-Godfrey test. Ignored if the degrees of freedom can be extracted from object.
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)

a1967fa/f-cast documentation built on May 29, 2019, 12:05 a.m.