Calculate Box–Ljung Goodness of Fit for ARIMA models in S-Plus.
Calculate Box–Ljung Goodness of Fit for ARIMA models in S-Plus.
In R we use the Box.test function.
gof.calculation(acf.list, gof.lag, n, n.parms)
acf.list |
An |
gof.lag |
The number of model parameters is the number of lags to use for computing the Portmanteau goodness of fit statistic |
n |
Number of residuals in model. |
n.parms |
Number of AR and MA parameters in the model. |
This function is isolated from the S-Plus arima.diag function.
It is used only in S-Plus.
See the gof value described in
arima.diag
in S-Plus.
Richard M. Heiberger (rmh@temple.edu)
arima.diag
in S-Plus.
if.R(s={
co2.arima <- arima.mle(co2, list(list(order=c(0,1,1)),
list(order=c(0,1,1), period=12)))
co2.acf <- acf(resid(co2.arima), plot=FALSE, lag=40)
co2.gof <- gof.calculation(co2.acf, 36, length(co2), 2)
xyplot(p.value ~ lag, data=co2.gof, panel=panel.gof,
ylim=range(0, co2.gof$p.value))
},r={})Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.