best_glp_models {artfima} | R Documentation |
Best AIC/BIC Models for Specified GLP
Description
This function is used by bestModels
Usage
best_glp_models(z, glp = c("ARTFIMA", "ARFIMA", "ARIMA"), p = 2, q = 2,
likAlg = c("exact", "Whittle"), d=0, ...)
Arguments
z |
time series |
glp |
glp is equal to one of the following choices: "ARTFIMA", "ARFIMA" or "ARIMA" |
p |
maximum order of AR component |
q |
maximum order of MA component |
likAlg |
likAlg = c("exact", "Whittle")) either "exact" or "Whittle" |
d |
regular integer differencing parameter |
... |
optional arguments for artfima such as lambdaMax |
Value
A list with 4 entries:
LL |
log-likelihood of models |
artfima_time |
total time |
aic |
list with best aic models |
bic |
list with best bic models |
Each of the components aic and bic is a list with three components:
bestaic |
best aic models |
bestbicModel |
best model |
aic |
plausability |
Similarly for the bic component.
Author(s)
A. I. McLeod
See Also
Examples
## Not run:
#takes about 4 minutes. Checking result for bestmodels()
z<-tseg(1000, "BJARMA11")
ansARIMA <- best_glp_models(z, glp = "ARIMA", p=2, q=2)
ansARFIMA <- best_glp_models(z, glp = "ARFIMA", p=2, q=2)
ansARTFIMA <- best_glp_models(z, glp = "ARTFIMA", p=2, q=2)
ansARIMA$bic$bic
ansARFIMA$bic$bic
ansARTFIMA$bic$bic
bestModels(z)
## End(Not run)
[Package artfima version 1.5 Index]