[R] how to check convergence of arima model

[Rui Barradas]

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>
> *To:* Sajeeka Nanayakkara <nsajeeka at yahoo.com>
> *Cc:* 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]]
>  >
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