[R] how to check convergence of arima model

[Michael Weylandt]

Also look at auto.arima in the forecast package. 

Michael

On Jul 4, 2012, at 4:38 AM, Rui Barradas <ruipbarradas at sapo.pt> wrote:

> Hello,
> 
> Put the fitted models in a list and then use lapply with AIC(). Like this
> 
> 
> set.seed(1)
> x <- 1:100 + sqrt(1:100 + runif(100)) + rnorm(100)
> models <- list()
> models[[1]] <- arima(diff(x), order = c(1, 0, 0))  # Just to show
> models[[2]] <- arima(diff(x), order = c(1, 0, 1))  # several
> models[[3]] <- arima(diff(x), order = c(2, 0, 2))  # models
> models[[4]] <- arima(diff(x), order = c(2, 0, 3))
> lapply(models, AIC)
> 
> 
> Or run each model at a time through AIC(), whichever suits better.
> 
> Hope this helps
> 
> Rui Barradas
> 
> Em 04-07-2012 10:22, Sajeeka Nanayakkara escreveu:
>> Hi,
>> 
>> I need to predict exchange rates using time series. So according to ACF
>> and PACF knowledge, mixed model (ARIMA) be the appropriate and now, I
>> need to find order of the model (p,d,q). So, several models were fitted
>> to select the suitable model using arima().
>> 
>> Could you please tell me the procedure of selecting the correct order as
>> I don't have enough time to search?
>> 
>> Thank you.
>> 
>> 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 2:58 PM
>> *Subject:* Re: [R] how to check convergence of arima model
>> 
>> 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 <mailto:ruipbarradas at sapo.pt>>
>> > *To:* Sajeeka Nanayakkara <nsajeeka at yahoo.com
>> <mailto:nsajeeka at yahoo.com>>
>> > *Cc:* r-help at r-project.org <mailto: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]]
>> >  >
>> >  > ______________________________________________
>> >  > R-help at r-project.org <mailto:R-help at r-project.org>
>> <mailto:R-help at r-project.org <mailto:R-help at r-project.org>> mailing list
>> >  > https://stat.ethz.ch/mailman/listinfo/r-help
>> >  > 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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