Evalute a time series or a list of time series models
This function calculates AIC, BIC and HQ or the MAPE for a list of time series models. This function currently only supports models estimated by the MLE.
evaluate(models, Xt, criterion = "IC", start = 0.8, demean = TRUE, print = TRUE)
models |
A time series model or a list of time series models. |
Xt |
A time series (i.e gts object). |
criterion |
Either "IC" for AIC, BIC and HQ or "MAPE" for MAPE. |
start |
A |
demean |
A |
print |
logical. If |
AIC, BIC and HQ or MAPE
Stéphane Guerrier
set.seed(18) n = 300 Xt = gen_gts(n, AR(phi = c(0, 0, 0.8), sigma2 = 1)) evaluate(AR(1), Xt) evaluate(list(AR(1), AR(3), MA(3), ARMA(1,2), SARIMA(ar = 1, i = 0, ma = 1, sar = 1, si = 1, sma = 1, s = 12)), Xt) evaluate(list(AR(1), AR(3)), Xt, criterion = "MAPE")
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