FitAR (version 1.94)

LBQPlot: Plot Ljung-Box Test P-value vs Lag

Description

The Ljung-Box portmanteau p-value is plotted vs lag.

Usage

LBQPlot(res, lag.max = 30, StartLag = k + 1, k = 0, SquaredQ = FALSE)

Arguments

res

residuals

lag.max

maximum lag

StartLag

starting lag

k

number of AR parameters fit

SquaredQ

default, SquaredQ = FALSE, regular autocorrelations. If SquaredQ = TRUE use autocorrelations of squared residuals.

Value

Plot is produced as a side-effect. No output

References

Ljung, G.M. and Box, G.E.P. (1978) On a measure of lack of fit in time series models. Biometrika 65, 297-303.

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

See Also

plot.FitAR, FitAR

Examples

#fit subset AR and plot diagnostic check
 out<-FitAR(SeriesA, c(1,2,7), ARModel="ARp")
 res<-resid(out)
 LBQPlot(res)
#note that plot produces LBQPlot and RacfPlot
 plot(out)