[R-SIG-Finance] How to output "Trace" list from auto.arima in forecast library

Mon Oct 3 14:36:05 CEST 2011

Take a look at ?sink

The trace is just a series of calls to 'cat', so it won't be
particularly useful unless you parse.

Jeff

On Mon, Oct 3, 2011 at 2:18 AM, Arun Krishnamoorthy
<arun.k at bridgei2i.com> wrote:
> Hi,
> I'm working on the forecast library and am using the auto.arima function
> with some dummy data
>
> Fit<-auto.arima(data_ts, trace=TRUE)
>
> I understand that trace evaluates alternative models and provides the
> corresponding AIC/SIC values with an output that looks like this;
>
> ARIMA(2,1,2) with drift         : 1278.988
>  ARIMA(0,1,0) with drift         : 1281.161
>  ARIMA(1,1,0) with drift         : 1280.325
>  ARIMA(0,1,1) with drift         : 1278.2
>  ARIMA(1,1,1) with drift         : 1280.229
>  ARIMA(0,1,2) with drift         : 1278.824
>  ARIMA(1,1,2) with drift         : 1281.911
>  ARIMA(0,1,1)                    : 1277.73
>  ARIMA(1,1,1)                    : 1279.804
>  ARIMA(0,1,0)                    : 1281.265
>  ARIMA(0,1,2)                    : 1278.626
>  ARIMA(1,1,2)                    : 1281.64
>
>  Best model: ARIMA(0,1,1)
>
> Unfortunately, Trace is not an object and i'm unable to read it in to a data
> frame to do further diagnosis.
>
> Can someone please help me with how i can get this output into a data frame.
> I'm unable to do data.frame since i can't coerce an ARIMA object into this
> class.
>
> Sorry if this has been addressed before. I just think there may be some data
> series where running a closely competing alternative model may be useful
>
> Thanks,
> AK
>
> -----Original Message-----
> From: r-sig-finance-bounces at r-project.org
> [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Daniel Cegielka
> Sent: 26 September 2011 17:20
> To: chrisbird
> Cc: r-sig-finance at r-project.org
> Subject: Re: [R-SIG-Finance] Filtering dates/times from zoo/xts series
>
> 2011/9/26 chrisbird <chris at chrisbird.com>
>
>> Thanks Brian,
>>
>> I did try using the ['T09:00/T21:00'] method for extraction but it did not
>> return anything - I will reinvestigate this and see if I can get it
>> working.
>>
>>
> It works... you are sure that the data was ok? Very strange that you have
> received nothing...
>
>> d<-xts(1:25, Sys.time() + 1:25)> d                    [,1]
> 2011-09-26 13:26:55    1
> 2011-09-26 13:26:56    2
> 2011-09-26 13:26:57    3
> 2011-09-26 13:26:58    4
> 2011-09-26 13:26:59    5
> 2011-09-26 13:27:00    6
> 2011-09-26 13:27:01    7
> 2011-09-26 13:27:02    8
> 2011-09-26 13:27:03    9
> 2011-09-26 13:27:04   10
> 2011-09-26 13:27:05   11
> 2011-09-26 13:27:06   12
> 2011-09-26 13:27:07   13
> 2011-09-26 13:27:08   14
> 2011-09-26 13:27:09   15
> 2011-09-26 13:27:10   16
> 2011-09-26 13:27:11   17
> 2011-09-26 13:27:12   18
> 2011-09-26 13:27:13   19
> 2011-09-26 13:27:14   20
> 2011-09-26 13:27:15   21
> 2011-09-26 13:27:16   22
> 2011-09-26 13:27:17   23
> 2011-09-26 13:27:18   24
> 2011-09-26 13:27:19   25> d["2011-09-26 13:27:00/2011-09-26 13:27:10"]
>                   [,1]
> 2011-09-26 13:27:00    6
> 2011-09-26 13:27:01    7
> 2011-09-26 13:27:02    8
> 2011-09-26 13:27:03    9
> 2011-09-26 13:27:04   10
> 2011-09-26 13:27:05   11
> 2011-09-26 13:27:06   12
> 2011-09-26 13:27:07   13
> 2011-09-26 13:27:08   14
> 2011-09-26 13:27:09   15
> 2011-09-26 13:27:10   16> d["T13:27:00/T13:27:10"]                    [,1]
> 2011-09-26 13:27:00    6
> 2011-09-26 13:27:01    7
> 2011-09-26 13:27:02    8
> 2011-09-26 13:27:03    9
> 2011-09-26 13:27:04   10
> 2011-09-26 13:27:05   11
> 2011-09-26 13:27:06   12
> 2011-09-26 13:27:07   13
> 2011-09-26 13:27:08   14
> 2011-09-26 13:27:09   15
> 2011-09-26 13:27:10   16
>
>
>
>
>> The processing is not to remove non-trading days/holidays - I do that
>> elsewhere. I'm doing processing on some complex strategies which use some
>> instruments which trade a lot, but not everyday. I only wish to process
> the
>> data from liquid days and strip out the less liquid data.
>>
>>
> It's quite a sophisticated approach to data. Probably when you filter using
> the time you would have to count the number of observations and does not
> bind data below a certain level. I have no idea how to do it in an elegant
> way.
>
> best regards,
> daniel
>
>
>
>> I will certainly investigate quantstrat.
>>
>> Thanks,
>>
>> Chris.
>>
>>
>> --
>> View this message in context:
>>
> http://r.789695.n4.nabble.com/Filtering-dates-times-from-zoo-xts-series-tp38
> 42937p3843408.html
>> Sent from the Rmetrics mailing list archive at Nabble.com.
>>
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>>
>
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-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

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