Dear R users, I need to fit an ARMA model. As far as I've seen, EACF (extended ACF) is not available in R.
1. Let's say I fit a series of ARMA models in a loop. Given the code/output included below, how do I pull 'Model' and 'Fit' (AIC) from each summary() so that I can combine them into an array/data frame to be sorted by AIC? 2. Apart from EACF, are you aware perhaps of another function in R that can help solve the issue of ARMA order identification? Thank you, b. > arma <- arma(var, order=c(1,1), lag=NULL, coef=NULL, + include.intercept = TRUE, series = NULL) > summary(arma) Call: arma(x = var, order = c(1, 1), lag = NULL, coef = NULL, include.intercept = TRUE, series = NULL) Model: ARMA(1,1) Residuals: Min 1Q Median 3Q Max -686.092 -68.499 4.024 65.531 509.171 Coefficient(s): Estimate Std. Error t value Pr(>|t|) ar1 0.990653 0.003724 265.987 <2e-16 *** ma1 -0.019562 0.030110 -0.650 0.5159 intercept 90.940774 36.914682 2.464 0.0138 * --- Signif. codes: 0 `***' 0.001 `**' 0.01 `*' 0.05 `.' 0.1 ` ' 1 Fit: sigma^2 estimated as 14193, Conditional Sum-of-Squares = 17116373, AIC = 14983.22 ______________________________________________ [EMAIL PROTECTED] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html