FIAR (version 0.6)

ARorder: Estimate AR order of Multivariate timeseries

Description

Compute AIC of a series of Multivariate AR models and returns the order of the model which minimizes this AIC.

Usage

ARorder(data, min=1,max = 10,type='AIC')

Arguments

data

timeseries to compute autoregressive order of.

min

Minimum order of AR model to check.

max

Maximum order of AR model to check.

type

Use AIC or BIC to compute model order.

Value

returns the order (>=1) of the autoregressive model which minimizes the AIC or BIC

Examples

# NOT RUN {
# Compute the AR order of semdata based on AIC, with a maximum order of 10 to reduce computing time.
ARorder(semdata,max=10)

# }