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

In pli2016/forecast: Forecasting Functions for Time Series and Linear Models

Description

Produces a time plot of the residuals, the corresponding ACF, and a histogram. If the degrees of freedom for the model can be determined, the output from either a Breusch-Godfrey test or a Ljung-Box test is printed.

Usage

checkresiduals(object, lag, df=NULL, test, ...)

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".
...	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)

pli2016/forecast documentation built on May 25, 2019, 8:22 a.m.