[R] Calculating AIC and BIC for Time Series Models

[David Winsemius]

> On Jun 8, 2018, at 12:43 PM, David Winsemius <dwinsemius using comcast.net> wrote:
> 
> 
>> On Jun 8, 2018, at 12:26 PM, Paul Bernal <paulbernal07 using gmail.com> wrote:
>> 
>> Dear friends,
>> 
>> I have been fitting some TS models from the forecast package like ets(),
>> ses(), hw(), HoltWinters(), stlf(), bats() and tbats(), however, when
>> trying to use the AIC and BIC functions, I receive the following error
>> message:
>> 
>> Error in UseMethod("logLik") :
>> no applicable method for 'logLik' applied to an object of class "forecast"
>> 
>> Yes, the message is clear, those functions cannot be applied to objects
>> from the forecast class. However, I would like to know if there is a way to
>> assess the goodness of fit for this models that is somewhat equivalent to
>> AIC and BIC, or of there is any other function that could help me in the
>> model selection stage, other than computing MASE, MAPE, etc.
>> 
>> Any help and or guidance will be greatly appreciated.
>> 
>> 	[[alternative HTML version deleted]]
> 
> Fourth google hit on a search "goodness of fit measures for forecasts" by the author of hte forecast package:

https://pdfs.semanticscholar.org/af71/3d815a7caba8dff7248ecea05a5956b2a487.pdf

> 
>> 
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>> and provide commented, minimal, self-contained, reproducible code.
> 
> David Winsemius
> Alameda, CA, USA
> 
> 'Any technology distinguishable from magic is insufficiently advanced.'   -Gehm's Corollary to Clarke's Third Law
> 
> ______________________________________________
> R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

David Winsemius
Alameda, CA, USA

'Any technology distinguishable from magic is insufficiently advanced.'   -Gehm's Corollary to Clarke's Third Law