Re: [R] Testing predictive power of ARIMA model

Thanks for the great feedback. Conceptually I understand how you would go about testing out of sample performance. It seems like accuracy() would be the best way to test out of forecast performance and will help to automate the construction of statistics I would have calculated on my own. Howe

[R] Testing predictive power of ARIMA model

I am trying to make estimates of the predictive power of ARIMA models estimated by the auto.arima() function. I am looping through a large number of time seiries and fitting ARIMA models with the following code. data1 <- read.csv(file = "case.csv", header = T) data <- data1 output = c(1:leng

[R] Generating output from auto.arima()

I have several hundred times series data sets and I am trying to use auto.arima(), in the forecasting package, to take a first stab at fitting an ARIMA model to each set. Ideally I would like to loop through each time series use auto.arima() to fit a model and output the R^2 of the model and the pa