[R] AICc vs AIC for model selection

[Spencer Graves]

Hi, Kjetil:  Thanks.  Spencer Graves

Kjetil Brinchmann Halvorsen wrote:
> Spencer Graves wrote:
>>        Regarding AIC.c, have you tried RSiteSearch("AICc") and 
>> RSiteSearch("AIC.c")?  This produced several comments that looked to 
>> me like they might help answer your question.   Beyond that, I've 
>> never heard of the "forecast" package, and I got zero hits for 
>> RSiteSearch("best.arima"), so I can't comment directly on your question.
> 
> The forecast package is at
> http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/
> 
> Kjetil
> 
>>
>>       Do you have only one series or multiple?  If you have only one, 
>> I think it would be hard to justify more than a simple AR(1) model. 
>> Almost anything else would likely be overfitting.
>>
>>       If you have multiple series, have you considered using 'lme' in 
>> the 'nlme' package?  Are you familiar with Pinheiro and Bates (2000) 
>> Mixed-Effects Models in S and S-Plus (Springer)?  If not, I encourage 
>> you to spend some quality time with this book.  My study of it has 
>> been amply rewarded, and I believe yours will likely also.
>>
>>       Best Wishes,
>>       Spencer Graves
>>
>> Sachin J wrote:
>>> Hi,
>>>      I am using 'best.arima' function from forecast package 
>> to obtain point forecast for a time series data set. The
>> documentation says it utilizes AIC value to select best ARIMA
>> model. But in my case the sample size very small - 26
>> observations (demand data). Is it the right to use AIC value for
>> model selection in this case. Should I use AICc instead of AIC.
>> If so how can I modify best.arima function to change the selection
>> creteria? Any pointers would be of great help.
>>>      Thanx in advance.
>>>      Sachin
>>>      
>>>         
>>> ---------------------------------
>>>
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