I think ther's a bug here :
bdp wrote:
Some code I have been playing with to do this follows ...
get.best.arima<- function(x.ts, minord=c(0,0,0,0,0,0),
maxord=c(2,1,1,2,1,1))
{
# function based on 'Introductory Time Series with R'
best.aic<- 1e8 # a big number
n<- length(x.ts)
for(p in minord[1]:maxord[1]) for(d in minord[2]:maxord[2]) for(q in
minord[3]:maxord[3])
{
for(P in minord[4]:maxord[4]) for(D in minord[5]:maxord[5])
for(Q in
minord[6]:maxord[6])
{
fit<- arima(x.ts, order=c(p,q,d),
seas=list(order=c(P,D,Q),
maybe it should be :
fit<- arima(x.ts, order=c(p,d,q),
seas=list(order=c(P,D,Q),
exchange q and d !
frequency(x.ts)), method='CSS')
fit.aic<- -2 * fit$loglik + (log(n) + 1) *
length(fit$coef)
if(fit.aic< best.aic) # probably should do other
tests here before
accepting
{
best.aic<- fit.aic
best.fit<- fit
best.model<- c(p,d,q,P,D,Q)
}
}
}
#print(best.aic)
#print(best.model)
return(best.fit)
}
...
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