[R] output processing / ARMA order identification
bogdan romocea
br44114 at yahoo.com
Mon Oct 25 19:27:44 CEST 2004
Dear R users,
I need to fit an ARMA model. As far as I've seen, EACF (extended ACF)
is not available in R.
1. Let's say I fit a series of ARMA models in a loop. Given the
code/output included below, how do I pull 'Model' and 'Fit' (AIC)
from each summary() so that I can combine them into an array/data
frame to be sorted by AIC?
2. Apart from EACF, are you aware perhaps of another function in R
that can help solve the issue of ARMA order identification?
Thank you,
b.
> arma <- arma(var, order=c(1,1), lag=NULL, coef=NULL,
+ include.intercept = TRUE, series = NULL)
> summary(arma)
Call:
arma(x = var, order = c(1, 1), lag = NULL, coef = NULL,
include.intercept = TRUE, series = NULL)
Model:
ARMA(1,1)
Residuals:
Min 1Q Median 3Q Max
-686.092 -68.499 4.024 65.531 509.171
Coefficient(s):
Estimate Std. Error t value Pr(>|t|)
ar1 0.990653 0.003724 265.987 <2e-16 ***
ma1 -0.019562 0.030110 -0.650 0.5159
intercept 90.940774 36.914682 2.464 0.0138 *
---
Signif. codes: 0 `***' 0.001 `**' 0.01 `*' 0.05 `.' 0.1 ` ' 1
Fit:
sigma^2 estimated as 14193, Conditional Sum-of-Squares = 17116373,
AIC = 14983.22
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