Hi, Thanks for your explanation. But still I didn't get the answer which I need.
You have mentioned the code which can obtain AIC values for all models at once. My question is; the procedure of selecting the suitable model to predict using R package. If I select the model which produces the smallest AIC and maximized log likelihood values, as the suitable model is it correct? Sajeeka Nanayakkara ________________________________ From: Rui Barradas <ruipbarra...@sapo.pt> Cc: r-help@r-project.org Sent: Wednesday, July 4, 2012 3:38 PM Subject: Re: [R] how to check convergence of arima model 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> > *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>> > > *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. > > > > > > > > > > > > [[alternative HTML version deleted]]
______________________________________________ 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.
