tsdiag {stats}R Documentation

Diagnostic Plots for Time-Series Fits

Description

A generic function to plot time-series diagnostics.

Usage

tsdiag(object, gof.lag, ...)

Arguments

object a fitted time-series model
gof.lag the maximum number of lags for a Portmanteau goodness-of-fit test
... further arguments to be passed to particular methods

Details

This is a generic function. It will generally plot the residuals, often standadized, the autocorrelation function of the residuals, and the p-values of a Portmanteau test for all lags up to gof.lag.

The methods for arima and StructTS objects plots residuals scaled by the estimate of their (individual) variance, and use the Ljung–Box version of the portmanteau test.

Value

None. Diagnostics are plotted.

See Also

arima, StructTS, Box.test

Examples

## Not run: data(lh)
fit <- arima(lh, c(1,0,0))
tsdiag(fit)

## see also examples(arima)

data(JohnsonJohnson)
(fit <- StructTS(log10(JohnsonJohnson), type="BSM"))
tsdiag(fit)
## End(Not run)
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