[R] R time series analysis

[Stephan Kolassa]

Hi,

basically, you know 5 periods later. If you use a good error measure, 
that is.

I am a big believer in AIC for model selection. I believe that arima() 
also gives you the AIC of a fitted model, or try AIC(arima1).

Other ideas include keeping a holdout sample or some such.

I'd recommend looking at a time series textbook.

HTH,
Stephan


Am 05.09.2010 22:37, schrieb lord12:
>
> How do you evaluate the predictive models? For example if I have:
>
> arima1 = arima(training, order = c(1,1,1))
> arima2 = arima(training, order = c(0,0,0))
> x.fore = predict(arima1, n.ahead=5)
> x.fore1 = predict(arima2, n.ahead = 5)
>
> How do I know which arima model is better for prediction?