artfima (version 1.5)

bestModels: Best BIC Models

Description

ARIMA(p,0,q), ARFIMA(p,0,q) and ARTFIMA(p,0,q) models are fit for various p=0,1,..., and q=0,1,... and the best models according to the BIC criterion are selected.

Usage

bestModels(z, parMax = 4, nbest = 4, likAlg = c("exact", "Whittle"),  d=0, ...)

Arguments

z

time series data

parMax

maximum number of parameters - see Details

nbest

number of models in selection

likAlg

likelihood method to use

d

regular differencing parameter indicating the number of times to difference

...

optional arguments for artfima such as lambdaMax

Value

An S3 list object, "bestmodels". Output is provided using the print method for the "bestmodels"

Details

$numPar = K$, where K is the number of structural models defined by $K = p+q+n(glp)$, where $n(glp) = 0, 1, 2$ according as the model is ARIMA, ARFIMA or ARTFIMA respectively.

These models are ranked according to the AIC/BIC criterion and the best ones are shown.

The plausibility is shown. This is defined for AIC by the eqn $p(AIC) = exp(0.5*(min(AIC)-AIC))$, where AIC is the vector of AIC values. Similarly for the BIC.

See Also

best_glp_models print.bestmodels

Examples

## Not run: 
# data(ogden)
# \dontrun{ #about 10 seconds
# bestModels(ogden)
# }
# ## End(Not run)