how to check convergence of arima model

Hello,

Put the fitted models in a list and then use lapply with AIC(). Like this


set.seed(1)
x <- 1:100 + sqrt(1:100 + runif(100)) + rnorm(100)
models <- list()
models[[1]] <- arima(diff(x), order = c(1, 0, 0))  # Just to show
models[[2]] <- arima(diff(x), order = c(1, 0, 1))  # several
models[[3]] <- arima(diff(x), order = c(2, 0, 2))  # models
models[[4]] <- arima(diff(x), order = c(2, 0, 3))
lapply(models, AIC)


Or run each model at a time through AIC(), whichever suits better.

Hope this helps

Rui Barradas

Em 04-07-2012 10:22, Sajeeka Nanayakkara escreveu:

Hi,

I need to predict exchange rates using time series. So according to ACF
and PACF knowledge, mixed model (ARIMA) be the appropriate and now, I
need to find order of the model (p,d,q). So, several models were fitted
to select the suitable model using arima().

Could you please tell me the procedure of selecting the correct order as
I don't have enough time to search?

Thank you.

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 2:58 PM
*Subject:* Re: [R] 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 <mailto:ruipbarradas at sapo.pt>>
*To:* Sajeeka Nanayakkara <nsajeeka at yahoo.com

<mailto:nsajeeka at yahoo.com>>

*Cc:* r-help at r-project.org <mailto: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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 >
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