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>
*To:* Sajeeka Nanayakkara <nsajeeka at yahoo.com>
*Cc:* 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

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 >
 > ______________________________________________
 > 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.
 >

how to check convergence of arima model

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