forecast: checkresiduals – R documentation

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checkresiduals

Check that residuals from a time series model look like white noise

Description

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.

Usage

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

Author(s)

Rob J Hyndman

Examples

fit <- ets(WWWusage)
checkresiduals(fit)

forecast

Forecasting Functions for Time Series and Linear Models

v8.14

GPL-3

Authors

Rob Hyndman [aut, cre, cph] (<https://orcid.org/0000-0002-2140-5352>), George Athanasopoulos [aut], Christoph Bergmeir [aut] (<https://orcid.org/0000-0002-3665-9021>), Gabriel Caceres [aut], Leanne Chhay [aut], Mitchell O'Hara-Wild [aut] (<https://orcid.org/0000-0001-6729-7695>), Fotios Petropoulos [aut] (<https://orcid.org/0000-0003-3039-4955>), Slava Razbash [aut], Earo Wang [aut], Farah Yasmeen [aut] (<https://orcid.org/0000-0002-1479-5401>), R Core Team [ctb, cph], Ross Ihaka [ctb, cph], Daniel Reid [ctb], David Shaub [ctb], Yuan Tang [ctb] (<https://orcid.org/0000-0001-5243-233X>), Zhenyu Zhou [ctb]

Initial release