返回R语言FitAR包函数列表

实现了ARIMA模型拟合优度的Ljung-Box-Portmanteau检验。

LjungBoxTest(res, k=0, lag.max=30, StartLag=1, SquaredQ=FALSE)

res : 残差

k : ARMA参数个数，默认k=0

lag.max : 最大滞后，默认最大滞后=30

StartLag : 对lags m进行测试=STARTAG:最大滞后，默认值为1

SquaredQ : 如果为TRUE，则使用平方残差进行ARCH测试，默认平方=FALSE

#test goodness-of-fit of AR(2) model fit to log(lynx)data(lynx)z< - log(lynx)ans< - FitAR(z, 1:2)#notice that the test is also available as a component of the output of FitAR ans$LjungBox#a plot of the test is producedplot(ans)#doing the test manuallyres< - resid(ans)LjungBoxTest(res, k=2, lag.max=20, StartLag=5)

#test for subset casez< - log(lynx)pvec< - SelectModel(z, ARModel="ARz", Criterion="BIC", lag.max=10, Best=1)ans< - FitAR(z, pvec)plot(ans)res< - resid(ans)LjungBoxTest(res, k=length(pvec), lag.max=20, StartLag=11)#test for ARCH effect,LjungBoxTest(res,SquaredQ=TRUE)