arma.muc {uotm}

Plot the model uncertainty curve of time series model selection method.

Description

The MUC of a given model selection method with good performance will tend to arch towards the upper left corner. Moreover, the area under the MUC, marked as AMUC, can be used as a raw measure of uncertainty of uncertainty for the model selection method under examination. The larger the AMUC, the stabler the corresponding model selection method. Overall, we can decide which method has the best performance according to the shape of the MUC and the AMUC.

Usage

arma.muc(method, ...)

Arguments

method

Model selection method like "aic", "bic" and "aicc".

...

Others.

Value

The arma.muc method returns a figure, which is the model uncertainty curve of the model selection method.

Examples

library(uotm)
ts <- arma.sim(ars = c(-0.9, -1.4, -0.7, -0.6), mas = c(0.5, -0.4), nobs = 100)

tmcb1 <- arma.mcb(ts, method = "aic", max.p = 4, max.q = 4,
bsamples = 50, stepwise = TRUE, blength = 12)
arma.muc(c("aic"), tmcb1)

# compare the uncertainty of different model selection methods using muc
tmcb2 <- arma.mcb(ts, method = "bic", max.p = 4, max.q = 4,
bsamples = 50, stepwise = TRUE, blength = 12)
arma.muc(c("aic", "bic"), tmcb1, tmcb2)