Plot quantile residual time series and histogram
quantile_residualsPlot plots quantile residual time series and histogram.
quantile_residual_plot(gsmar)
Arguments
gsmar: a class 'gsmar' object, typically generated by fitGSMAR or GSMAR.
Returns
Only plots to a graphical device and doesn't return anything.
Examples
## The below examples the approximately 15 seconds to run.
# G-StMAR model with one GMAR type and one StMAR type regime
fit42gs <- fitGSMAR(M10Y1Y, p=4, M=c(1, 1), model="G-StMAR",
ncalls=1, seeds=4)
quantile_residual_plot(fit42gs)
# GMAR model
fit12 <- fitGSMAR(data=simudata, p=1, M=2, model="GMAR", ncalls=1, seeds=1)
quantile_residual_plot(fit12)
References
- Galbraith, R., Galbraith, J. 1974. On the inverses of some patterned matrices arising in the theory of stationary time series. Journal of Applied Probability 11 , 63-71.
- Kalliovirta L. (2012) Misspecification tests based on quantile residuals. The Econometrics Journal, 15 , 358-393.
- Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36 (2), 247-266.
- Meitz M., Preve D., Saikkonen P. 2023. A mixture autoregressive model based on Student's t-distribution. Communications in Statistics - Theory and Methods, 52 (2), 499-515.
- Virolainen S. 2022. A mixture autoregressive model based on Gaussian and Student's t-distributions. Studies in Nonlinear Dynamics & Econometrics, 26 (4) 559-580.
See Also
profile_logliks, diagnostic_plot, fitGSMAR, GSMAR, quantile_residual_tests, simulate.gsmar