On Fri, 2007-11-09 at 06:58 -0800, Joao Santos wrote:
> Hello,
>
> EXAMPLE
> ##Create time series
> bb_500 = scan("my_file.dat")
> ts <- ts(bb_500, frequency=168)
>
> ts
> Time Series:
> Start = c(1, 1)
> End = c(3, 164)
> Frequency = 168
> [1] 61 60 60 59 58 58 58 58 58 61 64 65 65 64 64 64 63 63 62 61 60 60 60
(...)
> ##Find the best model using auto.arima() from package forecast
>
> system.time(fit.500<-auto.arima(ts, d = NA, D = NA, max.p = 2, max.q = 2,
> max.P = 1, max.Q = 1, max.order = 5,
> start.p=0, start.q=0, start.P=0, start.Q=0,
> stationary = FALSE, ic = c("aic","aicc", "bic"),
> stepwise=FALSE, trace=TRUE))
> (...)
> ARIMA(2,0,2)(1,1,0)[168] : 1e+20 *
> ARIMA(2,0,2)(1,1,0)[168] with drift : 1e+20 *
>
> ## user system elapsed
> ##19041.573 3806.364 22849.199 -> ~6 hours
Hi João !
In my computer (using ubuntu 7.10) my output with stepwise=F is
ARIMA(0,0,0) with zero mean : 5593.194
ARIMA(0,0,0) with zero mean : 3590.859
ARIMA(0,0,1) with zero mean : 4913.543
ARIMA(0,0,1) with zero mean : 2970.582
ARIMA(0,0,2) with zero mean : 4303.206
ARIMA(0,0,2) with zero mean : 2591.151
ARIMA(1,0,0) with zero mean : 1e+20
ARIMA(1,0,0) with zero mean : 2395.506
ARIMA(1,0,1) with zero mean : 2161.814
ARIMA(1,0,1) with zero mean : 2140.694
ARIMA(1,0,2) with zero mean : 2116.413
ARIMA(1,0,2) with zero mean : 2087.563
ARIMA(2,0,0) with zero mean : 2127.992
ARIMA(2,0,0) with zero mean : 2065.447
ARIMA(2,0,1) with zero mean : 2108.049
ARIMA(2,0,1) with zero mean : 2059.157
ARIMA(2,0,2) with zero mean : 2108.159
ARIMA(2,0,2) with zero mean : 2057.5
user system elapsed
1.016 0.012 2.011
with stepwise=T the output is:
ARIMA(0,0,0) with zero mean : 3590.859
ARIMA(0,0,0) with zero mean : 3590.859
ARIMA(1,0,0) with zero mean : 2395.506
ARIMA(0,0,1) with zero mean : 2970.582
ARIMA(2,0,0) with zero mean : 2065.447
ARIMA(2,0,1) with zero mean : 2059.157
ARIMA(2,0,1) with zero mean : 2108.049
ARIMA(1,0,1) with zero mean : 2140.694
ARIMA(2,0,2) with zero mean : 2057.5
ARIMA(2,0,2) with zero mean : 2108.159
ARIMA(1,0,2) with zero mean : 2087.563
Best model: ARIMA(2,0,2) with zero mean
user system elapsed
0.752 0.004 0.796
I using a AMD SEMPRO 2800+ with 1 Gb RAM so I think the slow output is
because other cause.
--
[]s
Tura
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
