GetResiduals

This utility function is useful to use in the portmanteau functions, 
<code>BoxPierce</code>, <code>MahdiMcLeod</code>, <code>Hosking</code>,
<code>LiMcLeod</code>, <code>LjungBox</code>, and <code>portest</code>.
<code>GetResiduals()</code> function takes a fitted time-series object 
with class <code>"ar"</code>, <code>"arima0"</code>, <code>"Arima"</code>, 
<code>("ARIMA forecast ARIMA Arima")</code>, <code>"lm"</code>, <code>("glm" "lm")</code>, 
<code>"varest"</code>, or <code>"list"</code>. 
 and returns the residuals and the order from the fitted object.

Contains common univariate and multivariate portmanteau test statistics for time series models. These tests are based on using asymptotic distributions such as chi-square distribution and based on using the Monte Carlo significance tests. Also, it can be used to simulate from univariate and multivariate seasonal time series models.

Esam Mahdi

portes

Portmanteau Tests for Time Series Models

GetResiduals function

<dl><dt>obj</dt>
<dd>a fitted time-series model with class <code>"ar"</code>, <code>"arima0"</code>, <code>"Arima"</code>, 
 <code>("ARIMA forecast ARIMA Arima")</code>, <code>"lm"</code>, <code>("glm" "lm")</code>, 
 <code>"varest"</code>, or <code>"list"</code>.</dd></dl>

Arguments

Author

Extract Residuals from ARIMA, VAR, or any Simulated Fitted Time Series Model — GetResiduals

<dl>

<dt>obj</dt>
<dd>a fitted time-series model with class <code>"ar"</code>, <code>"arima0"</code>, <code>"Arima"</code>, 
 <code>("ARIMA forecast ARIMA Arima")</code>, <code>"lm"</code>, <code>("glm" "lm")</code>, 
 <code>"varest"</code>, or <code>"list"</code>.</dd>

</dl>

GetResiduals: Extract Residuals from ARIMA, VAR, or any Simulated Fitted Time Series Model

Description

Usage

Value

Arguments

Author

See Also

Examples