[R] auto.arima in forecasting package

emj83 stp08emj at shef.ac.uk
Wed Feb 18 18:25:29 CET 2009


I am using auto.arima to find the best arima model but am a little confused
by the output. I want to choose the best model using the BIC criteria.
This is my code (straightforward where a is the data)
auto.arima(a,d=0,D=0,max.p=5,max.q=5,max.P=0,max.Q=0,max.order=5,start.p=0,start.q=0,start.P=0,start.Q=0,ic=c("aic"),
stationary=FALSE,stepwise=FALSE,trace=TRUE)

Part of the results I get back are:
 ARIMA(1,0,1) with zero mean     : 1e+20
 ARIMA(1,0,1) with non-zero mean : -92.117
 ARIMA(1,0,2) with zero mean     : 1e+20
 ARIMA(1,0,2) with non-zero mean : -101.8145
 ARIMA(1,0,3) with zero mean     : 1e+20
 ARIMA(1,0,3) with non-zero mean : -110.5995

I am unsure what the values are after the colon. I thought it was the BIC
but it is found that the best model for the data is ARIMA(1,0,3) with
non-zero-mean and BIC= -91.42.

Could anyone tell me what the values are after the colon? I have tried
looking at the help page to no avail.

Thanks in advance Emma

-- 
View this message in context: http://www.nabble.com/auto.arima-in-forecasting-package-tp22083751p22083751.html
Sent from the R help mailing list archive at Nabble.com.




More information about the R-help mailing list