Residuals from `StateSpaceModels.jl`'s auto_arima

Hi! I’ve been exploring StateSpaceModels.jl for fitting some time series using auto_arima. However I’ve run into an issue which might be pretty basic: Is there a way in which one can get the residuals from the fitted model?.

I’ve explored the forecast function (but only predicts ahead hence no apparent way to get the residuals) and the fieldnames of model and model.results don’t seem to have the residuals anywhere.

Here is the model (which is copy-paste from the documentation)

using CSV
using DataFrames
using Plots
using StateSpaceModels

airp = CSV.File(StateSpaceModels.AIR_PASSENGERS) |> DataFrame
log_air_passengers = log.(airp.passengers)

model = auto_arima(log_air_passengers; seasonal = 12)
#And the residuals?

It seems to me the only way might be by reconstructing from model.system’s matrices. I was wondering if there is an easier way (reconstructing from the matrices seems highly inefficient)

1 Like