If plot=TRUE, produces a time plot of the residuals, the corresponding ACF, and a histogram. If the degrees of freedom for the model can be determined and test is not FALSE, the output from either a Ljung-Box test or Breusch-Godfrey test is printed.

checkresiduals(object, lag, df = NULL, test, plot = TRUE, ...)

Arguments

object

Either a time series model, a forecast object, or a time series (assumed to be residuals).

lag

Number of lags to use in the Ljung-Box or Breusch-Godfrey test. If missing, it is set to min(10,n/5) for non-seasonal data, and min(2m, n/5) for seasonal data, where n is the length of the series, and m is the seasonal period of the data. It is further constrained to be at least df+3 where df is the degrees of freedom of the model. This ensures there are at least 3 degrees of freedom used in the chi-squared test.

df

Number of degrees of freedom for fitted model, required for the Ljung-Box or Breusch-Godfrey test. Ignored if the degrees of freedom can be extracted from object.

test

Test to use for serial correlation. By default, if object is of class lm, then test="BG". Otherwise, test="LB". Setting test=FALSE will prevent the test results being printed.

plot

Logical. If TRUE, will produce the plot.

...

Other arguments are passed to ggtsdisplay.

Value

None

See also

Examples

fit <- ets(WWWusage) checkresiduals(fit)
#> #> Ljung-Box test #> #> data: Residuals from ETS(A,Ad,N) #> Q* = 28.995, df = 5, p-value = 2.324e-05 #> #> Model df: 5. Total lags used: 10 #>