Description Usage Arguments Details Value Note Author(s) Examples

Implements a cross validation method for ARFIMAX models

1 2 3 4 5 | ```
arfimacv(data, indexin, indexout, ar.max = 2, ma.max = 2,
criterion = c("rmse","mae","berkowitzp"),berkowitz.significance = 0.05,
arfima = FALSE, include.mean = NULL, distribution.model = "norm",
cluster = NULL, external.regressors = NULL, solver = "solnp",
solver.control=list(), fit.control=list(), return.best=TRUE)
``` |

`data` |
A univariate xts vector. |

`indexin` |
A list of the training set indices |

`indexout` |
A list of the testing set indices, the same list length as that of indexin. This should be a numeric index of points immediately after those in the equivalent indexin slot and contiguous (for time series cross validation). |

`ar.max` |
Maximum AR order to test for. |

`ma.max` |
Maximum MA order to test for. |

`criterion` |
The cv criterion on which the forecasts will be tested against the realized values. Currently “rmse”, “mae” and experimentally “berkowitzp” are implemented. The latter is the Berkowitz test p-value (maximized) and should not be used if your indexout set is very small. |

`berkowitz.significance` |
The significance level at which the Berkowitz test is evaluated at (this has no value at the moment since we are only looking at the p-values, but may be used in futures to instead aggregate across pass-fail). |

`arfima` |
Can be TRUE, FALSE or NULL in which case it is tested. |

`include.mean` |
Can be TRUE, FALSE or NULL in which case it is tested. |

`cluster` |
A cluster object created by calling |

`external.regressors` |
An xts matrix object containing the pre-lagged external regressors to include in the mean equation with the same indices as those of the data supplied. |

`distribution.model` |
The distribution density to use for the innovations (defaults to Normal). |

`solver` |
One of either “nlminb”, “solnp”, “gosolnp” or “nloptr”. |

`solver.control` |
Control arguments list passed to optimizer. |

`fit.control` |
Control arguments passed to the fitting routine. |

`return.best` |
On completion of the cross-validation, should the best model be re-estimated on the complete dataset and returned (defaults to TRUE). |

The function evaluates all possible combinations of the ARFIMAX model for all the training and testing sets supplied. For the ARMA orders, the orders are evaluated fully (e.g. for ar.max=2, all possible combinations are evaluated including AR(0,0), AR(0,1), AR(0,2), AR(1,0), AR(2,0) AR(1,2), AR(2,1), and AR(2,2)). For each training set in indexin, all model combinations are evaluated and the 1-ahead rolling forecast for the indexout testing set is produced and compared to the realized values under the 3 criteria listed. Once all training/testing is done on all model combinations, the criteria are averaged across all the sets for each combination and the results returned.

A list with the following items:

`bestmodel` |
The best model based on the criterion chosen is re-estimated on the complete data set and returned. |

`cv_matrix` |
The model combinations and their average criteria statistics across the training/testing sets. |

Use a cluster...this is an expensive computation, particularly for large ar.max and ma.max orders. The indexin and indexout lists are left to the user to decide how to implement.

Alexios Ghalanos

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 | ```
## Not run:
require(xts)
require(parallel)
data(sp500ret)
spx = as.xts(sp500ret)
nn = nrow(spx)
nx = nn-round(0.9*nn,0)
if(nx
h = (nx/50)-1
indexin = lapply(1:h, function(j){ tail(seq(1,(nn-nx)+j*50, by=1),250) })
indexout = lapply(indexin, function(x){ (tail(x,1)+1):(tail(x,1)+50) })
cl = makePSOCKcluster(5)
mod = arfimacv(spx, indexin, indexout, ar.max = 2, ma.max = 2,
criterion = c("rmse","mae","berkowitzp")[1],
berkowitz.significance = 0.05, arfima = FALSE, include.mean = NULL,
distribution.model = "norm", cluster = cl, external.regressors = NULL,
solver = "solnp")
stopCluster(cl)
## End(Not run)
``` |

rugarch documentation built on Feb. 5, 2018, 1:01 a.m.

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