ARorder: Estimate AR order of Multivariate timeseries

In FIAR: Functional Integration Analysis in R

Description

Compute AIC of a series of Multivariate AR models and returns the order of the model which minimizes this AIC.

Usage

ARorder(data, min=1,max = 10,type='AIC')

Arguments

data	timeseries to compute autoregressive order of.
min	Minimum order of AR model to check.
max	Maximum order of AR model to check.
type	Use AIC or BIC to compute model order.

Value

returns the order (>=1) of the autoregressive model which minimizes the AIC or BIC

Author(s)

Bjorn Roelstraete

Examples

# Compute the AR order of semdata based on AIC, with a maximum order of 10 to reduce computing time.
ARorder(semdata,max=10)

FIAR documentation built on June 5, 2018, 5:03 p.m.