Re: [R] Lag selection

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Sun 29 May 2005 - 07:55:25 EST

          What kind of problem? For one variable or more?

          What have you tried? For only a single time series, the standard approach that I learned from Box and Jenkins, Time Series Analysis, Forecasting and Control, starts by preparing both acf and pacf, both of which are functions in R. If the acf shows only 1, 2 or 3 significant spikes, it suggests a moving average only model of the indicated order.   If the pacf shows only 1, 2, or 3 significant spikes, that suggests an autogregression only model. If the acf shows very high autoregressions of all orders with very slow decay, it suggests at least one difference.   If both acf and pacf show reasonable, possibly oscillating decay with no clear cut-off, then I'd first try an ARMA(1,1), then look at the residuals and expand the model as needed.

          Finally, have you read the posting guide! http://www.R-project.org/posting-guide.html? This suggests, among other things, that you provide a toy example that a potential respondant could easily copy from your email, test a few modifications, and prase a reply in a minute or so. This also helps clarify your question so any respondants are more likely to suggest something that is actually useful to you. Moreover, many people have reported that they were able to answer their own question in the course of preparing a question for this list using the posting guide.

	  hope this helps.
	  spencer graves

Amir Safari wrote:

>
>
> Dear All ,
> Is it possible to find and select the best lags for time series in R? ( Lag Selection Problem )
> Could you please introduce a package or function for this ?
> Thanks a lot
>
>
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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Sun May 29 07:57:48 2005

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