[R] Determine the order of Time series
Richard M. Heiberger
rmh at temple.edu
Tue Jul 15 20:23:43 CEST 2014
I am returning this email thread to the list.
Yes, of course.
On Tue, Jul 15, 2014 at 2:14 PM, 张天添 <pennytianzh at hotmail.com> wrote:
> Hi Rich,
> Thank you for your quick reply. I wonder if it is possible to view the PACF,
> ACF, P-value of gof ,aic and standardized residual separately thus I can
> have a bigger picture to look at.
> Thank you very much
> Kind Regards
>> Date: Tue, 15 Jul 2014 11:49:57 -0400
>> Subject: Re: [R] Determine the order of Time series
>> From: rmh at temple.edu
>> To: pennytianzh at hotmail.com
>> CC: r-help at r-project.org
>> Yes, of course.
>> Please look at the tsdiagplot function in the HH package.
>> install.packages("HH") ## if you don't have it yet
>> The example shows 0<p<3 and 0<q<3
>> You can change that to 6 and 10 with
>> X.loop <- arma.loop(X, order=c(6,0,10))
>> ## The example dataset gives warnings and trapped errors because these
>> values are too big for this dataset.
>> X.dal <- diag.arma.loop(X.loop, x=X)
>> X.diag <- rearrange.diag.arma.loop(X.dal)
>> X.diagplot <- tsdiagplot(armas=X.loop, ts.diag=X.diag, lwd=1)
>> ## You will need a big plotting window to see this, the screen isn't big
>> pdf("example.pdf", width=24, height=12)
>> This is my first example with two-digit q, and I discovered that the
>> ar:p,ma:q values are sequenced
>> alphabetically instead of numerically. That shows up as the
>> ar:0,ma:10 column appearing
>> between the ar:0,ma:1 and ar:0,ma:2 columns. I will fix it in the
>> next release of HH (probably late August).
>> Please let me (and the list) know how this works for you.
>> On Mon, Jul 14, 2014 at 3:49 PM, 张天添 <pennytianzh at hotmail.com> wrote:
>> > Dear R help team,
>> > I am currently stuck on how to determine the order of a data. I have
>> > plotted the ACF and PACF of the data and it does not seem to cuts off. Is
>> > that possible to plot AIC BIC of some order(p,q) say, 0<p<6 and 0<q<10 on
>> > the same graph so that I can compare the value of AIC and BIC to determine
>> > the best model to fit? (Please see attached picture that can clear describe
>> > what I am looking for.)
>> > Or, is there any other way to determine the order of the data?
>> > Thank you so much for your time
>> > Kind Regrads
>> > Penny
>> > ______________________________________________
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>> > PLEASE do read the posting guide
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>> > and provide commented, minimal, self-contained, reproducible code.
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