AnalyzeTS (version 2.0)

PrintAIC: Print AIC Values

Description

Calculates and outputs AIC value for some models including ARMA, ARIMA, SARIMA, ARMAX, ARIMAX, SARIMAX, ARCH and GARCH. To classify and extracts the best model by AIC values.

Usage

PrintAIC(DataTimeSeries, order = c(p, d = NULL, q = NULL), 
seas = list(order = c(P = NULL, D = NULL, Q = NULL), frequency = NULL), 
type = NULL,xreg=NULL)

Arguments

DataTimeSeries

Observation series.

order

If type="ARMA" (or ARMAX) then 'order' is a vector contain two positive integer which are order of ARMA model (or ARMAX model). If type="ARIMA" (or ARIMAX) then 'order' is a vector contain three positive integer which are order of ARIMA model (or ARIMAX model). If type="SARIMA" (or SARIMAX) then 'order' is a vector contain three positive integer which are order of ARIMA model (or ARIMAX model) of the non-seasonal part of the SARIMA model (or SARIMAX model). If type="ARCH" then 'order' is a positive integer which are order of ARCH model. If type="GARCH" then 'order' is a vector contain two positive integer which are order of GARCH model.

seas

A list contain two part which are 'order' and 'frequency'. 'order' part is a vector contain three positive integer which are order of ARIMA model of the seasonal part of the SARIMA model (or SARIMAX model). 'frequency' part is frequency of observation series.

type

Type of models.

xreg

Optionally, a vector or matrix of external regressors, which must have the same number of rows as x.

Value

mohinh

Calculation results.

best

The best model following AIC value.

Details

The first, function identify type of models according to 'type' parameter. The next, test other parameters. All of parameters are reasonable, function will combine orders of models. And then, to calculate AIC value of each model. The last step, performing ranked and extracting the best model.

References

Nguyen Thi Diem My va Hong Viet Minh, Phan tich chuoi thoi gian voi su ho tro cua package AnalyzeTS.

Hong Viet Minh, Luan van tot nghiep dai hoc: Phan tich so lieu thong ke voi ngon ngu R.

Examples

sl<-c(180,165,110,126,125,134,163,153,122,171,171,155
,175,248,99,187,173,147,184,108,171,195,192,163)
PrintAIC(sl,order=c(1,4),type="ARMA")
PrintAIC(sl,order=c(1,1,4),type="ARIMA")
PrintAIC(sl,order=c(1,1,4),seas=list(order=c(0,0,1),frequency=4),
type="SARIMA")
PrintAIC(sl,order=c(4),type="ARCH")
PrintAIC(sl,order=c(1,4),type="GARCH")


#The ARIMAX models
#A factor
date<-as.factor(c("Tue","Wed","Thu","Fri","Mon","Tue","Wed",
"Thu","Fri","Mon","Tue","Wed","Thu","Fri","Mon","Tue","Wed",
"Thu","Fri","Mon","Tue","Wed","Thu","Fri","Mon","Tue","Wed",
"Thu","Fri","Mon","Tue","Wed","Thu"))

#Observation series.
coffee<-c(5,6,8,4,3,7,6,0,3,2,3,4,9,1,3,8,7,8,2,3,8,6,4,
4,6,7,6,5,2,3,8,4,4)
coffee<-ts(coffee,start=c(1,2),frequency=5)
Mon<-1*(date=="Mon")
event<-data.frame(Mon)
PrintAIC(coffee,order=c(2,2),xreg=event,type="ARMAX")