Re: [R] Search for best ARIMA model

From: Juan Antonio Breña Moral <bren_at_juanantonio.info>
Date: Mon 11 Sep 2006 - 09:44:38 GMT

Hi, to create best ARIMA model, I use the package forecast.

You can search it in the following URL:

http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/

You should use the method "best.arima"

further information, here:
http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/forecast/best.arima.html

Best Regards.

Schweitzer, Markus wrote:
>
> Hello,
>
> I have a several time series, which I would like to check for their best
> fitted Arima model (I am checking for the lowest aic value).
> Which lets me raise two questions:
>
> 1) is there are more efficient way, than using 6 for-loops?
> 2) sometimes the system cannot calculate with given parameters - is
> there a more efficient solution than I found?
>
> I hope, you can help me to make this calculation quicker since I have to
> run this function 450 times...
> Thank you very much in advance,
>
> Markus
>
>
> arima.estim <- function(TS) {
> best.model <- arima(TS, order = c(1, 0, 0), seasonal =
> list(order = c(0, 0, 0), period = frequency(TS)) )
>
> # Start value
> # I continue with brute force- p, q, r, s are nested from 0 to 3 and i
> and j are nested from 0 to 2. p and q are not both allowed to be 0.
>
> for (p in 0:3){
> for( q in 0:3){
> if(p==0 && q==0) {}
> else {
> for(r in 0:3) {
> for(s in 0:3) {
> for (j in 0:2) {
> for(i in 0:2) {
>
> # test, if series works
> if(inherits(try(arima(TS, order = c(p, i, q), seasonal = list(order
> = c(r, j, s), period = frequency(TS)) ), TRUE), 'try-error')){
>
> print(c(p,i,q))} #shows, which parameters didn't work -> will be
> removed by
>
> else {
> tmp <- arima(TS, order = c(p, i, q), seasonal =
> list(order = c(r, j, s), period = frequency(TS))) # calculate again
> :(
>
> if(best.model$aic > tmp$aic)
> {
> best.model <- tmp
> }
> }
> }
> }
> }
> } } } }
>
> best.model}
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
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> 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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Received on Tue Sep 12 08:07:17 2006

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