simts: select_arima – R documentation

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select_arima

Run Model Selection Criteria on ARIMA Models

Description

This function performs model fitting and calculates the model selection criteria to be plotted or used in best_model function.

Usage

select_arima(xt, p.min = 0L, p.max = 3L, d = 0L, q.min = 0L,
  q.max = 3L, include.mean = TRUE, plot = TRUE)

select_arma(xt, p.min = 0L, p.max = 3L, q.min = 0L, q.max = 3L,
  include.mean = TRUE, plot = TRUE)

select_ar(xt, p.min = 0L, p.max = 3L, include.mean = TRUE,
  plot = TRUE)

select_ma(xt, q.min = 0L, q.max = 3L, include.mean = TRUE,
  plot = TRUE)

Arguments

`xt`	A `vector` of univariate time series.
`p.min`	An `integer` indicating the lowest order of AR(p) process to search.
`p.max`	An `integer` indicating the highest order of AR(p) process to search.
`d`	An `integer` indicating the differencing order for the data.
`q.min`	An `integer` indicating the lowest order of MA(q) process to search.
`q.max`	An `integer` indicating the highest order of MA(q) process to search.
`include.mean`	A `bool` indicating whether to fit ARIMA with the mean or not.
`plot`	A `logical`. If `TRUE` (the default) a plot should be produced.

Examples

xt = gen_arima(N=100, ar=0.3, d=1, ma=0.3)
x = select_arima(xt, d=1L)

xt = gen_ma1(100, 0.3, 1)
x = select_ma(xt, q.min=2L, q.max=5L)
best_model(x)

xt = gen_arma(10, c(.4,.5), c(.1), 1, 0)  
x = select_arma(xt, p.min = 1L, p.max = 4L,
                q.min = 1L, q.max = 3L)

simts

Time Series Analysis Tools

v0.1.1

AGPL-3 | file LICENSE

Authors

Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]

Initial release

2019-07-21