5.9 Check residuals
We can do a test of autocorrelation of the residuals with Box.test()
with fitdf
adjusted for the number of parameters estimated in the fit. In our case, MA(1) and drift parameters.
<- resid(fit)
res Box.test(res, type = "Ljung-Box", lag = 12, fitdf = 2)
Box-Ljung test
data: res
X-squared = 5.1609, df = 10, p-value = 0.8802
checkresiduals()
in the forecast package will automate this test and show some standard diagnostics plots.
::checkresiduals(fit) forecast
Ljung-Box test
data: Residuals from ARIMA(0,1,1) with drift
Q* = 1.0902, df = 3, p-value = 0.7794
Model df: 2. Total lags used: 5