arma.loop: Loop through a series of ARIMA models and display coordinated...

In HH: Statistical Analysis and Data Display: Heiberger and Holland

Loop through a series of ARIMA models and display coordinated tables and diagnoastic graphs.

Description

Loop through a series of ARIMA models and display coordinated tables and diagnostic graphs. The complete example from the Heiberger and Teles article, also included in the Heiberger and Holland book, is illustrated.

Usage

arma.loop(x,
          model,             ## S-Plus
          order, seasonal,   ## R
          series=deparse(substitute(x)), ...)

diag.arma.loop(z,
               x=stop("The time series x is needed in S-Plus when p=q=0."),
               lag.max = 36, gof.lag = lag.max)

rearrange.diag.arma.loop(z)

Arguments

x	Time series vector. In S-Plus, x must be an "rts".
model	A valid S-Plus model for arima.mle.
order, seasonal	A valid R order and seasonal for arima.
series	Character string describing the time series.
...	Additional arguments for arima.mle or arima.
z	For diag.arma.loop, an "arma.loop" object. For rearrange.diag.arma.loop, an "diag.arma.loop" object.
lag.max	Maximum lag for the acf and pacf plots.
gof.lag	Maximum lag for the gof plots.

Details

S-Plus and R have different functions, with different input argument names and different components in their value.

Value

arma.loop: "arma.loop" object which is a matrix of lists, each containing an arima model.

diag.arma.loop: "diag.arma.loop" object which is a matrix of lists, each containing the standard diagnostics for one arima model.

rearrange.diag.arma.loop: List of matrices, each containing all the values for a specific diagnostic measure collected from the set of arima models.

Author(s)

Richard M. Heiberger ([e-mail])

References

"Displays for Direct Comparison of ARIMA Models" The American Statistician, May 2002, Vol. 56, No. 2, pp. 131-138. Richard M. Heiberger, Temple University, and Paulo Teles, Faculdade de Economia do Porto.

Heiberger, Richard M. and Holland, Burt (2015). Statistical Analysis and Data Display: An Intermediate Course with Examples in R. Second Edition. Springer-Verlag, New York. https://link.springer.com/book/10.1007/978-1-4939-2122-5

See Also

tsdiagplot

Examples

## see tsdiagplot for the example

HH documentation built on May 29, 2024, 6:24 a.m.