Also look at auto.arima in the forecast package. Michael
On Jul 4, 2012, at 4:38 AM, Rui Barradas <ruipbarra...@sapo.pt> wrote: > Hello, > > Put the fitted models in a list and then use lapply with AIC(). Like this > > > set.seed(1) > x <- 1:100 + sqrt(1:100 + runif(100)) + rnorm(100) > models <- list() > models[[1]] <- arima(diff(x), order = c(1, 0, 0)) # Just to show > models[[2]] <- arima(diff(x), order = c(1, 0, 1)) # several > models[[3]] <- arima(diff(x), order = c(2, 0, 2)) # models > models[[4]] <- arima(diff(x), order = c(2, 0, 3)) > lapply(models, AIC) > > > Or run each model at a time through AIC(), whichever suits better. > > Hope this helps > > Rui Barradas > > Em 04-07-2012 10:22, Sajeeka Nanayakkara escreveu: >> Hi, >> >> I need to predict exchange rates using time series. So according to ACF >> and PACF knowledge, mixed model (ARIMA) be the appropriate and now, I >> need to find order of the model (p,d,q). So, several models were fitted >> to select the suitable model using arima(). >> >> Could you please tell me the procedure of selecting the correct order as >> I don't have enough time to search? >> >> Thank you. >> >> Sajeeka Nanayakkara >> >> >> >> >> >> ------------------------------------------------------------------------ >> *From:* Rui Barradas <ruipbarra...@sapo.pt> >> *To:* Sajeeka Nanayakkara <nsaje...@yahoo.com> >> *Cc:* r-help@r-project.org >> *Sent:* Wednesday, July 4, 2012 2:58 PM >> *Subject:* Re: [R] how to check convergence of arima model >> >> Hello, >> >> Inline. >> >> Em 04-07-2012 09:35, Sajeeka Nanayakkara escreveu: >> > Hi, >> > >> > Sorry, since I didn't see the earlier message I resend it. >> > >> > I read the help page that you mentioned. But the problem is for all >> > models, code is zero. According to that, all models were converged. >> > Considering AIC value the best model is selected. >> >> No, arima() does not select models by AIC. That is the default behavior >> of ar(); arima() does NOT select models, it selects, using optim, values >> for the parameters of a specified model. You must choose the orders >> yourself. >> >> Hope this helps, >> >> Rui Barradas >> >> > >> > Is that correct procedure? >> > >> > The R code which was used is; >> > model1<-arima(rates,c(1,1,1)) >> > model1 >> > model1$code >> > [1] 0 >> > >> > Sajeeka Nanayakkara >> > >> > >> > >> > ------------------------------------------------------------------------ >> > *From:* Rui Barradas <ruipbarra...@sapo.pt <mailto:ruipbarra...@sapo.pt>> >> > *To:* Sajeeka Nanayakkara <nsaje...@yahoo.com >> <mailto:nsaje...@yahoo.com>> >> > *Cc:* r-help@r-project.org <mailto:r-help@r-project.org> >> > *Sent:* Wednesday, July 4, 2012 2:01 PM >> > *Subject:* Re: [R] how to check convergence of arima model >> > >> > Hello, >> > >> > Sorry, but do you read the answers to your posts? >> > Inline. >> > >> > Em 04-07-2012 08:02, Sajeeka Nanayakkara escreveu: >> > > I have already fitted several models >> > > using R code; arima(rates,c(p,d,q)) >> > > >> > >> > And I have already answered to a question starting like this yesterday. >> > In the mean time, the subject line changed. >> > >> > > >> > > As I heard, best model produce the >> > > smallest AIC value, but maximum likelihood estimation procedure >> optimizer >> > > should converge. >> > > >> > > >> > > How to check whether maximum likelihood estimation procedure >> > optimizer has converged or not? >> > >> > Yes, it was this question, the subject line was 'question'... >> > >> > ... And the answer was: read the manual, that I quoted, by the way. >> > >> > It now changed to: read the manual, period. >> > >> > Rui Barradas >> > >> > > [[alternative HTML version deleted]] >> > > >> > > ______________________________________________ >> > > R-help@r-project.org <mailto:R-help@r-project.org> >> <mailto:R-help@r-project.org <mailto: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. >> > > >> > >> > >> > >> >> >> > > ______________________________________________ > 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. ______________________________________________ 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.
