stats (version 3.1.1)

tsdiag: 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

Value

None. Diagnostics are plotted.

Details

This is a generic function. It will generally plot the residuals, often standardized, 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.

See Also

arima, StructTS, Box.test

Examples

require(graphics)

fit <- arima(lh, c(1,0,0))
tsdiag(fit)

## see also examples(arima)

(fit <- StructTS(log10(JohnsonJohnson), type = "BSM"))
tsdiag(fit)