[R] Search for best ARIMA model

Juan Antonio Breña Moral bren at juanantonio.info
Mon Sep 11 11:44:38 CEST 2006

```Hi, to create best ARIMA model, I use the package forecast.

You can search it in the following URL:

http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/

You should use the method "best.arima"

further information, here:
http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/forecast/best.arima.html

Best Regards.

Schweitzer, Markus wrote:
>
> Hello,
>
> I have a several time series, which I would like to check for their best
> fitted Arima model (I am checking for the lowest aic value).
> Which lets me raise two questions:
>
> 1) is there are more efficient way, than using 6 for-loops?
> 2) sometimes the system cannot calculate  with given parameters - is
> there a more efficient solution than I found?
>
> I hope, you can help me to make this calculation quicker since I have to
> run this function 450 times...
> Thank you very much in advance,
>
> Markus
>
>
> arima.estim <- function(TS) {
> 	best.model <- arima(TS, order = c(1, 0, 0), seasonal =
> list(order = c(0, 0, 0), period = frequency(TS)) )
>
> # Start value
> # I continue with brute force- p, q, r, s are nested from 0 to 3 and i
> and j are nested from 0 to 2. p and  q are not both allowed to be 0.
>
> for (p in 0:3){
>   for( q in 0:3){
>     if(p==0 && q==0) {}
>       else {
>         for(r in 0:3) {
>           for(s in 0:3) {
>             for (j in 0:2) {
>               for(i in 0:2) {
>
> # test, if series works
>     if(inherits(try(arima(TS, order = c(p, i, q), seasonal = list(order
> = c(r,  j, s), period = frequency(TS)) ), TRUE), 'try-error')){
>
> 	print(c(p,i,q))} #shows, which parameters didn't work -> will be
> removed by
>
> 	 else    {
> 	         tmp <- arima(TS, order = c(p, i, q), seasonal =
> list(order = c(r,  j, s), period = frequency(TS)))     # calculate again
> :(
>
>           if(best.model\$aic > tmp\$aic)
>           {
>                   best.model <- tmp
>           }
>               }
>                  }
>                  }
>                  }
>                  } } } }
>
>                  best.model}
>
> 	[[alternative HTML version deleted]]
>
> ______________________________________________
> R-help en stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help