R: Check that residuals from a time series model look like white...

checkresiduals {forecast} | R Documentation

## 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

### See Also

`ggtsdisplay`, `Box.test`, `bgtest`

### Examples

    fit <- ets(WWWusage)
    checkresiduals(fit)

[Package forecast version 8.4 Index]