[R] R time series analysis

[Johnson, Cedrick W.]

  You also may want to look at auto.arima in the 'forecast' package, 
which will return the "best" ARIMA model based on AIC/AICc/BIC values

?auto.arima

hth
c

On 09/05/2010 06:02 PM, Stephan Kolassa wrote:
> 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?
>
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