Hi, to create best ARIMA model, I use the package forecast. You can search it in the following URL:
http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/ You should use the method "best.arima" further information, here: http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/forecast/best.arima.html Best Regards. Schweitzer, Markus wrote: > > Hello, > > I have a several time series, which I would like to check for their best > fitted Arima model (I am checking for the lowest aic value). > Which lets me raise two questions: > > 1) is there are more efficient way, than using 6 for-loops? > 2) sometimes the system cannot calculate with given parameters - is > there a more efficient solution than I found? > > I hope, you can help me to make this calculation quicker since I have to > run this function 450 times... > Thank you very much in advance, > > Markus > > > arima.estim <- function(TS) { > best.model <- arima(TS, order = c(1, 0, 0), seasonal = > list(order = c(0, 0, 0), period = frequency(TS)) ) > > # Start value > # I continue with brute force- p, q, r, s are nested from 0 to 3 and i > and j are nested from 0 to 2. p and q are not both allowed to be 0. > > for (p in 0:3){ > for( q in 0:3){ > if(p==0 && q==0) {} > else { > for(r in 0:3) { > for(s in 0:3) { > for (j in 0:2) { > for(i in 0:2) { > > # test, if series works > if(inherits(try(arima(TS, order = c(p, i, q), seasonal = list(order > = c(r, j, s), period = frequency(TS)) ), TRUE), 'try-error')){ > > print(c(p,i,q))} #shows, which parameters didn't work -> will be > removed by > > else { > tmp <- arima(TS, order = c(p, i, q), seasonal = > list(order = c(r, j, s), period = frequency(TS))) # calculate again > :( > > if(best.model$aic > tmp$aic) > { > best.model <- tmp > } > } > } > } > } > } } } } > > best.model} > > [[alternative HTML version deleted]] > > ______________________________________________ > [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 > and provide commented, minimal, self-contained, reproducible code. > > -- View this message in context: http://www.nabble.com/Search-for-best-ARIMA-model-tf2156910.html#a6243692 Sent from the R help forum at Nabble.com. ______________________________________________ [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 and provide commented, minimal, self-contained, reproducible code.
