[R] output processing / ARMA order identification
Prof Brian Ripley
ripley at stats.ox.ac.uk
Mon Oct 25 20:24:25 CEST 2004
On Mon, 25 Oct 2004, bogdan romocea wrote:
> Dear R users,
> I need to fit an ARMA model. As far as I've seen, EACF (extended ACF)
> is not available in R.
But PACF is as well as ACF.
> 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?
Look at the examples in tests/ts-tests.R. Or read the arima() help page
more carefully, as it tells you where the results are (and they are not in
summary(), which does not work for arima fits!).
> 2. Apart from EACF, are you aware perhaps of another function in R
> that can help solve the issue of ARMA order identification?
It's a rather old-fashioned idea. Just fit all the target models and
compare their performance.
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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