arfima (version 1.8-1)

residuals.arfima: Extract the Residuals of a Fitted Object

Description

Extracts the residuals or regression residuals from a fitted arfima object

Usage

# S3 method for arfima
residuals(object, reg = FALSE, ...)

Value

A list of vectors of residuals, one for each mode.

Arguments

object

A fitted arfima object

reg

Whether to extract the regression residuals instead. If TRUE, throws an error if no regression was done.

...

Optional parameters. Currently not used.

Author

JQ (Justin) Veenstra

References

Veenstra, J.Q. Persistence and Antipersistence: Theory and Software (PhD Thesis)

See Also

arfima, fitted.arfima

Examples

# \donttest{
set.seed(8564)
sim <- arfima.sim(1000, model = list(phi = c(0.2, 0.1), dfrac = 0.4, theta = 0.9))
fit <- arfima(sim, order = c(2, 0, 1), back=TRUE)

fit

resid <- resid(fit)
par(mfrow = c(1, 3))
plot(resid[[1]])
plot(resid[[2]])
plot(resid[[3]])
fitted <- fitted(fit)
plot(fitted[[1]], resid[[1]])
plot(fitted[[2]], resid[[2]])
plot(fitted[[3]], resid[[3]])
par(mfrow = c(1, 1))
# }