evaluate {simts} | R Documentation |
Evalute a time series or a list of time series models
Description
This function calculates AIC, BIC and HQ or the MAPE for a list of time series models. This function currently only supports models estimated by the MLE.
Usage
evaluate(
models,
Xt,
criterion = "IC",
start = 0.8,
demean = TRUE,
print = TRUE
)
Arguments
models |
A time series model or a list of time series models. |
Xt |
A time series (i.e gts object). |
criterion |
Either "IC" for AIC, BIC and HQ or "MAPE" for MAPE. |
start |
A |
demean |
A |
print |
logical. If |
Value
AIC, BIC and HQ or MAPE
Author(s)
Stéphane Guerrier
Examples
set.seed(18)
n = 300
Xt = gen_gts(n, AR(phi = c(0, 0, 0.8), sigma2 = 1))
evaluate(AR(1), Xt)
evaluate(list(AR(1), AR(3), MA(3), ARMA(1,2),
SARIMA(ar = 1, i = 0, ma = 1, sar = 1, si = 1, sma = 1, s = 12)), Xt)
evaluate(list(AR(1), AR(3)), Xt, criterion = "MAPE")
[Package simts version 0.2.2 Index]