R: Residuals for various time series models

residuals.forecast {forecast} | R Documentation

## Residuals for various time series models

### Description

Returns time series of residuals from a fitted model.

### Usage

    ## S3 method for class 'forecast'
    residuals(object, type = c("innovation", "response"), ...)

    ## S3 method for class 'ar'
    residuals(object, type = c("innovation", "response"), ...)

    ## S3 method for class 'Arima'
    residuals(object, type = c("innovation", "response", "regression"), h = 1, ...)

    ## S3 method for class 'bats'
    residuals(object, type = c("innovation", "response"), h = 1, ...)

    ## S3 method for class 'tbats'
    residuals(object, type = c("innovation", "response"), h = 1, ...)

    ## S3 method for class 'ets'
    residuals(object, type = c("innovation", "response"), h = 1, ...)

    ## S3 method for class 'ARFIMA'
    residuals(object, type = c("innovation", "response"), ...)

    ## S3 method for class 'nnetar'
    residuals(object, type = c("innovation", "response"), h = 1, ...)

    ## S3 method for class 'stlm'
    residuals(object, type = c("innovation", "response"), ...)

    ## S3 method for class 'tslm'
    residuals(object, type = c("innovation", "response", "deviance"), ...)

### Arguments

`object` | An object containing a time series model of class `ar`, `Arima`, `bats`, `ets`, `arfima`, `nnetar` or `stlm`. If `object` is of class `forecast`, then the function will return `object$residuals` if it exists, otherwise it returns the differences between the observations and their fitted values.
`type` | Type of residual.
`...` | Other arguments not used.
`h` | If `type='response'`, then the fitted values are computed for `h`-step forecasts.

### Details

Innovation residuals correspond to the white noise process that drives the evolution of the time series model. Response residuals are the difference between the observations and the fitted values (equivalent to `h`-step forecasts). For functions with no `h` argument, `h=1`. For homoscedastic models, the innovation residuals and the response residuals for `h=1` are identical. Regression residuals are available for regression models with ARIMA errors, and are equal to the original data minus the effect of the regression variables. If there are no regression variables, the errors will be identical to the original series (possibly adjusted to have zero mean). `arima.errors` is a deprecated function which is identical to `residuals.Arima(object, type="regression")`. For `nnetar` objects, when `type="innovations"` and `lambda` is used, a matrix of time-series consisting of the residuals from each of the fitted neural networks is returned.

### Value

A `ts` object.

### Author(s)

Rob J Hyndman

### See Also

`fitted.Arima`, `checkresiduals`.

### Examples

    fit <- Arima(lynx,order=c(4,0,0), lambda=0.5)

    plot(residuals(fit))
    plot(residuals(fit, type='response'))

[Package forecast version 8.12 Index]