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1

auto.arima has many unresolved issues. see: http://www.stat.pitt.edu/stoffer/tsa3/Rissues.htm


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You can do it manually. Let x be the data series. The code below considers all moving-average lag orders between 0 and max.q and prints out the BIC-minimizing lag order and the corresponding estimated model: m=list() # I will save estimated ARIMA(1,0,q) models here BIC=c() # I will save the corresponding BIC values here max.q=10 # the maximum MA order you ...



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