Re: [R] AICc vs AIC for model selection

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Sun 16 Jul 2006 - 09:07:34 EST

Hi, Kjetil: Thanks. Spencer Graves

Kjetil Brinchmann Halvorsen wrote:

> Spencer Graves wrote:

>> Regarding AIC.c, have you tried RSiteSearch("AICc") and
>> RSiteSearch("AIC.c")? This produced several comments that looked to
>> me like they might help answer your question. Beyond that, I've
>> never heard of the "forecast" package, and I got zero hits for
>> RSiteSearch("best.arima"), so I can't comment directly on your question.
> 
> The forecast package is at
> http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/
> 
> Kjetil
> 

>>
>> Do you have only one series or multiple? If you have only one,
>> I think it would be hard to justify more than a simple AR(1) model.
>> Almost anything else would likely be overfitting.
>>
>> If you have multiple series, have you considered using 'lme' in
>> the 'nlme' package? Are you familiar with Pinheiro and Bates (2000)
>> Mixed-Effects Models in S and S-Plus (Springer)? If not, I encourage
>> you to spend some quality time with this book. My study of it has
>> been amply rewarded, and I believe yours will likely also.
>>
>> Best Wishes,
>> Spencer Graves
>>
>> Sachin J wrote:
>>> Hi,
>>> I am using 'best.arima' function from forecast package
>> to obtain point forecast for a time series data set. The
>> documentation says it utilizes AIC value to select best ARIMA
>> model. But in my case the sample size very small - 26
>> observations (demand data). Is it the right to use AIC value for
>> model selection in this case. Should I use AICc instead of AIC.
>> If so how can I modify best.arima function to change the selection
>> creteria? Any pointers would be of great help.
>>> Thanx in advance.
>>> Sachin
>>>
>>>
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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 Jul 16 09:21:17 2006

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