[R] how to check convergence of arima model
Rui Barradas
ruipbarradas at sapo.pt
Wed Jul 4 11:38:26 CEST 2012
Hello,
Put the fitted models in a list and then use lapply with AIC(). Like this
set.seed(1)
x <- 1:100 + sqrt(1:100 + runif(100)) + rnorm(100)
models <- list()
models[[1]] <- arima(diff(x), order = c(1, 0, 0)) # Just to show
models[[2]] <- arima(diff(x), order = c(1, 0, 1)) # several
models[[3]] <- arima(diff(x), order = c(2, 0, 2)) # models
models[[4]] <- arima(diff(x), order = c(2, 0, 3))
lapply(models, AIC)
Or run each model at a time through AIC(), whichever suits better.
Hope this helps
Rui Barradas
Em 04-07-2012 10:22, Sajeeka Nanayakkara escreveu:
> Hi,
>
> I need to predict exchange rates using time series. So according to ACF
> and PACF knowledge, mixed model (ARIMA) be the appropriate and now, I
> need to find order of the model (p,d,q). So, several models were fitted
> to select the suitable model using arima().
>
> Could you please tell me the procedure of selecting the correct order as
> I don't have enough time to search?
>
> Thank you.
>
> Sajeeka Nanayakkara
>
>
>
>
>
> ------------------------------------------------------------------------
> *From:* Rui Barradas <ruipbarradas at sapo.pt>
> *To:* Sajeeka Nanayakkara <nsajeeka at yahoo.com>
> *Cc:* r-help at r-project.org
> *Sent:* Wednesday, July 4, 2012 2:58 PM
> *Subject:* Re: [R] how to check convergence of arima model
>
> Hello,
>
> Inline.
>
> Em 04-07-2012 09:35, Sajeeka Nanayakkara escreveu:
> > Hi,
> >
> > Sorry, since I didn't see the earlier message I resend it.
> >
> > I read the help page that you mentioned. But the problem is for all
> > models, code is zero. According to that, all models were converged.
> > Considering AIC value the best model is selected.
>
> No, arima() does not select models by AIC. That is the default behavior
> of ar(); arima() does NOT select models, it selects, using optim, values
> for the parameters of a specified model. You must choose the orders
> yourself.
>
> Hope this helps,
>
> Rui Barradas
>
> >
> > Is that correct procedure?
> >
> > The R code which was used is;
> > model1<-arima(rates,c(1,1,1))
> > model1
> > model1$code
> > [1] 0
> >
> > Sajeeka Nanayakkara
> >
> >
> >
> > ------------------------------------------------------------------------
> > *From:* Rui Barradas <ruipbarradas at sapo.pt <mailto:ruipbarradas at sapo.pt>>
> > *To:* Sajeeka Nanayakkara <nsajeeka at yahoo.com
> <mailto:nsajeeka at yahoo.com>>
> > *Cc:* r-help at r-project.org <mailto:r-help at r-project.org>
> > *Sent:* Wednesday, July 4, 2012 2:01 PM
> > *Subject:* Re: [R] how to check convergence of arima model
> >
> > Hello,
> >
> > Sorry, but do you read the answers to your posts?
> > Inline.
> >
> > Em 04-07-2012 08:02, Sajeeka Nanayakkara escreveu:
> > > I have already fitted several models
> > > using R code; arima(rates,c(p,d,q))
> > >
> >
> > And I have already answered to a question starting like this yesterday.
> > In the mean time, the subject line changed.
> >
> > >
> > > As I heard, best model produce the
> > > smallest AIC value, but maximum likelihood estimation procedure
> optimizer
> > > should converge.
> > >
> > >
> > > How to check whether maximum likelihood estimation procedure
> > optimizer has converged or not?
> >
> > Yes, it was this question, the subject line was 'question'...
> >
> > ... And the answer was: read the manual, that I quoted, by the way.
> >
> > It now changed to: read the manual, period.
> >
> > Rui Barradas
> >
> > > [[alternative HTML version deleted]]
> > >
> > > ______________________________________________
> > > R-help at r-project.org <mailto:R-help at r-project.org>
> <mailto:R-help at r-project.org <mailto:R-help at r-project.org>> mailing list
> > > 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.
> > >
> >
> >
> >
>
>
>
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