statsmodels.tsa.statespace.varmax.VARMAXResults.plot_diagnostics

VARMAXResults.plot_diagnostics(variable=0, lags=10, fig=None, figsize=None)

Diagnostic plots for standardized residuals of one endogenous variable

Parameters:

• variable (integer, optional) – Index of the endogenous variable for which the diagnostic plots should be created. Default is 0.
• lags (integer, optional) – Number of lags to include in the correlogram. Default is 10.
• fig (Matplotlib Figure instance, optional) – If given, subplots are created in this figure instead of in a new figure. Note that the 2x2 grid will be created in the provided figure using fig.add_subplot().
• figsize (tuple, optional) – If a figure is created, this argument allows specifying a size. The tuple is (width, height).

Notes

Produces a 2x2 plot grid with the following plots (ordered clockwise from top left):

1. Standardized residuals over time
2. Histogram plus estimated density of standardized residulas, along with a Normal(0,1) density plotted for reference.
3. Normal Q-Q plot, with Normal reference line.
4. Correlogram

See also

statsmodels.graphics.gofplots.qqplot, statsmodels.graphics.tsaplots.plot_acf