residuals.arfima {arfima}R Documentation

Extract the Residuals of a Fitted Object

Description

Extracts the residuals or regression residuals from a fitted arfima object

Usage

## S3 method for class 'arfima'
residuals(object, reg = FALSE, ...)

Arguments

object

A fitted arfima object

reg

Whether to extract the regression residuals instead. If TRUE, throws an error if no regression was done.

...

Optional parameters. Currently not used.

Value

A list of vectors of residuals, one for each mode.

Author(s)

JQ (Justin) Veenstra

References

Veenstra, J.Q. Persistence and Antipersistence: Theory and Software (PhD Thesis)

See Also

arfima, fitted.arfima

Examples



set.seed(8564)
sim <- arfima.sim(1000, model = list(phi = c(0.2, 0.1), dfrac = 0.4, theta = 0.9))
fit <- arfima(sim, order = c(2, 0, 1), back=TRUE)

fit

resid <- resid(fit)
par(mfrow = c(1, 3))
plot(resid[[1]])
plot(resid[[2]])
plot(resid[[3]])
fitted <- fitted(fit)
plot(fitted[[1]], resid[[1]])
plot(fitted[[2]], resid[[2]])
plot(fitted[[3]], resid[[3]])
par(mfrow = c(1, 1))



[Package arfima version 1.7-0 Index]