Added checkresiduals() function

ChangeLog

@@ -1,4 +1,5 @@
 Version 7.4 (?? 2016)
+  * Added gghistogram() and checkresiduals()
   * Bug fixes
 
 Version 7.3 (12 October 2016)

NAMESPACE

@@ -37,7 +37,8 @@ ggtsdisplay, ggmonthplot, ggseasonplot, seasonplot, ses, sindexf, splinef, tslm,
 fourierf,forecast.lm,thetaf, tsdisplay, simulate.ets, simulate.ar, simulate.Arima, simulate.fracdiff, simulate.nnetar,
 ndiffs, nsdiffs, dm.test,tbats.components, Acf,Pacf,Ccf,ma,CV,BoxCox.lambda,dshw, bats, tbats, msts,
 getResponse, tsoutliers, tsclean, bizdays, easter,stlm, forecast.stlm,
-StatForecast, GeomForecast, geom_forecast, gghistogram)
+StatForecast, GeomForecast, geom_forecast, gghistogram,
+checkresiduals)
 
 S3method(autoplot, acf)
 S3method(autoplot, ar)

R/checkresiduals.R

@@ -0,0 +1,38 @@
+checkresiduals <- function(object, lag)
+{
+  # Extract residuals
+  if(is.element("ts",class(object)) | is.element("numeric",class(object)) )
+    residuals <- object
+  else
+    residuals <- residuals(object)
+
+  # Produce plots
+  ggtsdisplay(residuals, plot.type="histogram")
+
+  # Check if we have the model
+  if(is.element("forecast",class(object)))
+    object <- object$model
+  if(is.null(object))
+    return()
+
+  # Find model df
+  if(is.element("ets",class(object)))
+    df <- length(object$par)
+  else if(is.element("Arima",class(object)))
+    df <- length(object$coef)
+  else if(is.element("bats",class(object)))
+    df <- length(object$parameters$vect) + NROW(object$seed.states)
+  else
+    df <- NULL
+
+  # Do Ljung-Box test
+  if(!is.null(df))
+  {
+    freq <- frequency(residuals)
+    if(missing(lag))
+      lag <- max(df+3, ifelse(freq>1, 2*freq, 10))
+    print(Box.test(residuals, fitdf=df, lag=lag, type="Ljung"))
+    cat(paste("Model df: ",df,".   Total lags used: ",lag,"\n\n",sep=""))
+  }
+}
+

man/checkresiduals.Rd

@@ -0,0 +1,22 @@
+\name{checkresiduals}
+\alias{checkresiduals}
+\title{Check that residuals from a time series model look like white noise}
+\usage{checkresiduals(object, lag)
+}
+\arguments{
+\item{object}{Either a time series model, a forecast object, or a time series (assumed to be residuals).}
+\item{lag}{Number of lags to use in the Ljung-Box test. If missing, it is set to \code{max(10,df+3)} for non-seasonal data, and \code{max(2m, df+3)} for seasonal data, where \code{df} is the degrees of freedom of the model, and \code{m} is the seasonal period of the data.}
+}
+
+\description{Produces a plot of the residuals, the corresponding ACF and histogram. If the degrees of freedom for the model can be determined, the output from a Ljung-Box test is returned.
+}
+
+\value{None}
+
+\author{Rob J Hyndman}
+\seealso{\code{\link{ggtsdisplay}}, \code{\link[stats]{Box.test}}}
+\examples{
+fit <- ets(WWWusage)
+checkresiduals(fit)
+}
+