R/tsdiag.R

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

#' @export
tsdiag.ets <- function(object, gof.lag = 10, ...) {
  oldpar <- par(mfrow = c(3, 1))
  on.exit(par(oldpar))
  rs <- object$residuals
  stdres <- rs / sqrt(object$sigma2)
  plot(
    stdres, type = "h", main = "Standardized Residuals",
    ylab = ""
  )
  abline(h = 0)
  Acf(
    object$residuals, plot = TRUE, main = "ACF of Residuals",
    na.action = na.pass
  )
  nlag <- gof.lag
  pval <- numeric(nlag)
  for (i in 1:nlag) pval[i] <- Box.test(rs, i, type = "Ljung-Box")$p.value
  plot(1:nlag, pval, xlab = "lag", ylab = "p value", ylim = c(
    0,
    1
  ), main = "p values for Ljung-Box statistic")
  abline(h = 0.05, lty = 2, col = "blue")
}