Plot Ljung-Box Test P-value vs Lag
The Ljung-Box portmanteau p-value is plotted vs lag.
LBQPlot(res, lag.max = 30, StartLag = k + 1, k = 0, SquaredQ = FALSE)
res |
residuals |
lag.max |
maximum lag |
StartLag |
starting lag |
k |
number of AR parameters fit |
SquaredQ |
default, SquaredQ = FALSE, regular autocorrelations. If SquaredQ = TRUE use autocorrelations of squared residuals. |
Plot is produced as a side-effect. No output
This function is normally invoked when plot.FitAR is used.
A.I. McLeod and Y. Zhang
Ljung, G.M. and Box, G.E.P. (1978) On a measure of lack of fit in time series models. Biometrika 65, 297-303.
McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.
#fit subset AR and plot diagnostic check out<-FitAR(SeriesA, c(1,2,7), ARModel="ARp") res<-resid(out) LBQPlot(res) #note that plot produces LBQPlot and RacfPlot plot(out)
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