I stand corrected. I thought I checked this a long time ago, but apparently not. tsdiag.Arima DOES NOT use the fact that the series it is testing (or diagnosing, if you will) are residuals from an ARIMA fit.
I keep a list of R time series bloopers here: http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm along with some work-arounds over here: http://www.stat.pitt.edu/stoffer/tsa2/Examples.htm David Stoffer wrote: > > I believe tsdiag() uses the correct degrees of freedom in applying > Box.test, but the graphic shows "lag" on the horizontal axis when it > should display "degrees of freedom". > > > > raf.rossignol wrote: >> >> Hello, >> >> Prof Brian Ripley wrote: >>> >>> I think you are referring to its application to the residuals of an >>> ARMA(p, q) fit, and that is not what Box.test says it does. >>> >>> It is very easy to edit the code if you want to use a different degrees >>> of >>> freedom. >>> >> I am also new to R, but it seems to me that there is still something >> confusing, not in Box.test but in tsdiag.Arima >> Indeed, the help of tsdiag says "The methods for 'arima' and 'StructTS' >> [...] use the Ljung-Box version of the portmanteau test." >> So we could expect the degrees of freedom 'h-p-q' to be used, but a look >> at tsdiag.Arima shows it uses Box.test at lags h=1:gof.lag, with degrees >> of freedom equal to h, and not h-p-q. Do you think this is a mistake in >> tsdiag.Arima or is there some experimental (or theoretical) reason >> supporting this choice ? >> Best regards >> >> >> > > ----- The power of accurate observation is commonly called cynicism by those who have not got it. George Bernard Shaw -- View this message in context: http://www.nabble.com/Box.test-degrees-of-freedom-tp17277964p18917747.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
