Displaying 2 results from an estimated 2 matches for "ljungbox".
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junkbox
2009 Feb 03
1
Time series plots with ggplot
Hi,
I am newbie user of ggplot and would like some assistance in
implementing time series plots.
I'd like to know how the tsdiag plot can be made in ggplot?
Thanks
Harsh Singhal
Decisions Systems,
Mu Sigma Inc.
2011 Jun 04
0
[R-SIG-Finance] Measure quality of fit for MA(q), ARMA(p, q) and GARCH(p, q)
...rns <patrick at burns-stat.com> wrote:
> A common thing to do is the Ljung-Box
> test on the residuals. ?For garch it
> would be the residuals squared.
>
> Actually for garch it should be the
> rank of the squared residuals -- see
> http://www.burns-stat.com/pages/Working/ljungbox.pdf
>
> However, this is an in-sample test. ?Much
> better is to do out-of-sample tests.
>
> On 04/06/2011 04:46, Robert A'gata wrote:
>>
>> Hi,
>>
>> I would like to ask for a guideline on how to assess quality of fit
>> for MA, ARMA and GARCH proce...