[R] summary of arima model in R
David Scott
d.scott at auckland.ac.nz
Wed May 26 13:54:08 CEST 2010
Joris Meys wrote:
> Check http://cran.r-project.org/doc/contrib/Ricci-refcard-ts.pdf for some
> ideas on testing time series in R. I'd go with the acf() and pacf() on the
> residuals of the arima model. If arima works, both plots will indicate
> absence of autocorrelation.
>
> also check ?tsdiag
>
> And if you're really going to use those more often, I really can recommend
> this book :
> http://www.amazon.com/Time-Analysis-Its-Applications-Statistics/dp/0387293175
>
> Cheers
> Joris
> On Tue, May 25, 2010 at 9:34 AM, Fred <jianyun.fred.wu at gmail.com> wrote:
>
>> Hi,
>>
>> I want to give a summary or anova for "arima" model in R, as
>> "summary", and "anova" for "lm".
>>
>> As including various intervention factors in arima(xreg = ) part, I
>> want to assess the significancy of thse factors.
>>
>> I can do it using interrupted analysis of time series by linear
>> regression, but want to see whether arima model works for the data
>> first.
>>
>> "summary", "anova" do not work for "arima", any alternatives ???
>>
>> Thank you very much.
>>
>> Fred
>>
If you want a summary method for arima models then I suggest you use Rob
Hyndman's package 'forecast'. This has a method summary.Arima. Note that
the function arima returns an object of class Arima (not arima).
Curiously, there seems to be no help on summary.arima:
> require(forecast)
Loading required package: forecast
Loading required package: fracdiff
This is forecast 2.05
> methods("summary")
[1] summary.aov summary.aovlist summary.Arima*
[4] summary.arma* summary.aspell* summary.connection
[7] summary.data.frame summary.Date summary.default
[10] summary.ecdf* summary.ets* summary.factor
[13] summary.forecast* summary.fracdiff* summary.garch*
[16] summary.glm summary.infl summary.lm
[19] summary.loess* summary.manova summary.matrix
[22] summary.mlm summary.nls* summary.packageStatus*
[25] summary.POSIXct summary.POSIXlt summary.ppr*
[28] summary.prcomp* summary.princomp* summary.shingle*
[31] summary.stepfun summary.stl* summary.table
[34] summary.trellis* summary.tukeysmooth* summary.yearmon*
[37] summary.yearqtr* summary.zoo*
Non-visible functions are asterisked
> ?summary.Arima
No documentation for 'summary.Arima' in specified packages and libraries:
you could try '??summary.Arima'
David Scott
_________________________________________________________________
David Scott Department of Statistics
The University of Auckland, PB 92019
Auckland 1142, NEW ZEALAND
Phone: +64 9 923 5055, or +64 9 373 7599 ext 85055
Email: d.scott at auckland.ac.nz, Fax: +64 9 373 7018
Director of Consulting, Department of Statistics
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