Q-Q plots of VARMA-LiNGAM residuals

Draws per-variable normal Q-Q plots of the residuals (analogous to the Moneta Gauss_Stats visual check). Deviations from the reference line indicate non-Gaussianity, which supports the LiNGAM assumption. Requires ggplot2.

Usage

plot_varmalingam_residual_qq(
  result,
  on = c("innovations", "varma"),
  ncol = 3,
  nrow = NULL
)

Arguments

result

a VARMALiNGAMResult from lingam_varma()

on

which series to plot: "innovations" (default) or "varma"

ncol

number of facet columns

nrow

number of facet rows (NULL = automatic)

Value

a ggplot object

References

Analogous to the residual visual check (Gauss_Stats) in the VARLiNGAM R code of Moneta, A., Entner, D., Hoyer, P. O., & Coad, A. (2013), Oxford Bulletin of Economics and Statistics, 75(5), 705-730. https://sites.google.com/site/dorisentner/publications/VARLiNGAM

Examples

s <- generate_varmalingam_sample(n = 1000, seed = 42)
m <- lingam_varma(s$data,
  order = c(1, 1), criterion = NULL,
  reg_method = "ols", prune = FALSE
)
# \donttest{
plot_varmalingam_residual_qq(m)

# }