[R] AICc vs AIC for model selection
Kjetil Brinchmann Halvorsen
kjetilbrinchmannhalvorsen at gmail.com
Sun Jul 16 00:05:44 CEST 2006
Spencer Graves wrote:
> 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.
The forecast package is at
> 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.
> Best Wishes,
> Spencer Graves
> 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.
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