search for: fitdf

Dear Everyone, The document of `tsdiag? says > These tests are sometimes applied to the residuals from an ARMA(p, q) fit, in which case the references suggest a better approximation to the null-hypothesis distribution is obtained by setting fitdf = p+q, provided of course that lag > fitdf. This implies that we should pass the `fitdf' parameter when applying `Box.test' to residuals. When checking the source code for `getS3method("tsdiag", "Arima?)?, however, I noticed that it didn?t pass this parameter. The relevan...

...s of my model, and I was recommended by my supervisor to use the Ljung-Box test. The Box.test function in R takes 4 arguments:  x a numeric vector or univariate time series. lag the statistic will be based on lag autocorrelation coefficients. type test to be performed: partial matching is used. fitdf number of degrees of freedom to be subtracted if x is a series of residuals. Unfortunately, I never took a statistics class where I learned the Ljung-Box test, and information about it online is hard to find. What does "lag" mean, and what value would you guys recommend I use for the te...

...a Ljung-Box test on these data to test for autocorrelation. Later on I will estimate 8 coefficients. I do not know how many degrees of freedom should I assume in the formula for Ljung-Box test. Could anyone tell me please? Below the formula: Box.test(x, lag = ????, type = c("Ljung-Box"), fitdf = 0) Thank you very much in advance. Best regards Marcin [[alternative HTML version deleted]]

How can I extract K (number of parameters) from an AIC calculation, both to report K itself and to calculate AICc? I'm aware of the conversion from AIC -> AICc, where AICc = AIC + 2K(K+1)/(n-K-1), but not sure of how K is calculated or how to extract that value from either an AIC or logLik calculation. This is probably more of a basic statistics question than an R question, but I thank

Hi, I saw that tsdiag function doesn't provide a correct result for Ljung-Box test. I want to use Box.test function for this, but I don't know how to determine lag parameter for this function. For fitdf, as I'm using a SARIMA model (0,1,1)(0,1,1)12, I decided to set it to 2. Can you confirm me the value for fitdf and give me a way to determine the lag value? Thanks Myriam -- View this message in context: http://www.nabble.com/Determination-of-lag-value-for-Box.test-tp24729062p24729062.html...

...es) *b)* ACF & PACF (residuals) * * *Q2)* I am using *tsdiag*, so I obtain a graphic with 3 plots: stand. residuals vs time; acf for residuals; Ljung-Box for residuals (it is wrong for residuals). I know that using Box.test with type Ljung-Box, I can specify a correct df to my estimated model (fitdf = p + q). So, I could do this test with different lags, evaluate their significance, and then plot it. However, in Box.test NA are not handled. But, it is possible to do a Ljung-Box test with missing data [Stoffer & Toloi, 1992. A note on the Ljung-Box-Pierce pormanteau statistic with missing d...

...format.hexmode() and as.character.hexmode() gain an 'upper.case' argument. o bitmap() and dev2bitmap() gain support for anti-aliasing. The default type has been changed to 'png16m', which supports anti-aliasing. o Box.test() gains a 'fitdf' argument to adjust the degrees of freedom if applied to residuals. o browseURL() has a new argument 'encodeIfNeeded' to use URLencode() in cases where it seems likely that would be helpful. (Unfortunately, those are hard to guess.) o by() gains a...

...format.hexmode() and as.character.hexmode() gain an 'upper.case' argument. o bitmap() and dev2bitmap() gain support for anti-aliasing. The default type has been changed to 'png16m', which supports anti-aliasing. o Box.test() gains a 'fitdf' argument to adjust the degrees of freedom if applied to residuals. o browseURL() has a new argument 'encodeIfNeeded' to use URLencode() in cases where it seems likely that would be helpful. (Unfortunately, those are hard to guess.) o by() gains a...