statsmodels.tsa.statespace.varmax.VARMAXResults.plot_diagnostics

VARMAXResults.plot_diagnostics(variable=0, lags=10, fig=None, figsize=None, truncate_endog_names=24)

Diagnostic plots for standardized residuals of one endogenous variable

Parameters
variableint, optional

Index of the endogenous variable for which the diagnostic plots should be created. Default is 0.

lagsint, optional

Number of lags to include in the correlogram. Default is 10.

figFigure, 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().

figsizetuple, optional

If a figure is created, this argument allows specifying a size. The tuple is (width, height).

Returns
Figure

Figure instance with diagnostic plots

See also

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

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 residuals, along with a Normal(0,1) density plotted for reference.

  3. Normal Q-Q plot, with Normal reference line.

  4. Correlogram