[R] AICc vs AIC for model selection
spencer.graves at pdf.com
Sat Jul 15 20:30:50 CEST 2006
Regarding AIC.c, have you tried RSiteSearch("AICc") and
RSiteSearch("AIC.c")? This produced several comments that looked to me
like they might help answer your question. Beyond that, I've never
heard of the "forecast" package, and I got zero hits for
RSiteSearch("best.arima"), so I can't comment directly on your question.
Do you have only one series or multiple? If you have only one, I
think it would be hard to justify more than a simple AR(1) model.
Almost anything else would likely be overfitting.
If you have multiple series, have you considered using 'lme' in the
'nlme' package? Are you familiar with Pinheiro and Bates (2000)
Mixed-Effects Models in S and S-Plus (Springer)? If not, I encourage
you to spend some quality time with this book. My study of it has been
amply rewarded, and I believe yours will likely also.
Sachin J wrote:
> I am using 'best.arima' function from forecast package
to obtain point forecast for a time series data set. The
documentation says it utilizes AIC value to select best ARIMA
model. But in my case the sample size very small - 26
observations (demand data). Is it the right to use AIC value for
model selection in this case. Should I use AICc instead of AIC.
If so how can I modify best.arima function to change the selection
creteria? Any pointers would be of great help.
> Thanx in advance.
> [[alternative HTML version deleted]]
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
More information about the R-help