aic.wge {tswge} | R Documentation |
ARMA Model Identification
Description
ARMA model identification using either AIC, AICC, or BIC
Usage
aic.wge(x, p = 0:5, q = 0:2, type = "aic")
Arguments
x |
Realization to be analyzed |
p |
Range of p values to be considered |
q |
Range of q values to be considered |
type |
Type of model identification criterion: aic, aicc, or bic |
Value
type |
Criterion used: aic (default), aicc, or bic |
min_value |
Value of the minimized criterion |
p |
AR order for selected model |
phi |
AR parameter estimates for selected model |
q |
MA order for selected model |
theta |
MA parameter estimates for selected model |
vara |
White noise variance estimate for selected model |
Author(s)
Wayne Woodward
References
"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott
Examples
data(fig3.18a)
aic.wge(fig3.18a,p=0:5,q=0:1,type='aicc')
[Package tswge version 2.1.0 Index]