Time Series Model Selection
This function performs model fitting and calculates the model selection criteria to be plotted.
select(model, Xt, include.mean = TRUE, criterion = "aic", plot = TRUE)
model |
A time series model (only ARIMA are currently supported). |
Xt |
A |
include.mean |
A |
criterion |
A |
plot |
A |
Stéphane Guerrier and Yuming Zhang
set.seed(763) Xt = gen_gts(100, AR(phi = c(0.2, -0.5, 0.4), sigma2 = 1)) select(AR(5), Xt, include.mean = FALSE) Xt = gen_gts(100, MA(theta = c(0.2, -0.5, 0.4), sigma2 = 1)) select(MA(5), Xt, include.mean = FALSE) Xt = gen_gts(500, ARMA(ar = 0.5, ma = c(0.5, -0.5, 0.4), sigma2 = 1)) select(ARMA(5,3), Xt, criterion = "hq", include.mean = FALSE)
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.