# Automatic Model Selection for ARFIMA models

### Description

Select best fitting ARFIMA models based on information criteria.

### Usage

1 2 3 4 | ```
autoarfima(data, ar.max = 2, ma.max = 2, criterion = c("AIC","BIC","SIC","HQIC"),
method = c("partial", "full"), arfima = FALSE, include.mean = NULL,
distribution.model = "norm", cluster = NULL, external.regressors = NULL,
solver = "solnp", solver.control=list(), fit.control=list(), return.all = FALSE)
``` |

### Arguments

`data` |
A univariate data object. Can be a numeric vector, matrix, data.frame, zoo, xts, timeSeries, ts or irts object. |

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

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

`criterion` |
Information Criterion to use for selecting the best model. |

`method` |
The partial method tests combinations of consecutive orders of AR and MA i.e. 1:2, 1:3 etc, while the full method tests all possible combinations within the consecutive orders thus enumerating the complete combination space of the MA and AR orders. . |

`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` |
A matrix object containing the external regressors to include in the mean equation with as many rows as will be included in the data (which is passed in the fit function). |

`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.all` |
Whether to return all the fitted models or only the best one. |

### Value

A list with the following items:

`fit` |
Either the best fitted model or all the fitted models if the option ‘return.all’ was selected. |

`rank.matrix` |
Either a sorted matrix of the models and their information criterion, else an unsorted matrix of the models and their information criterion if the option ‘return.all’ was selected. |

### Author(s)

Alexios Ghalanos

### Examples

1 2 3 4 5 6 | ```
## Not run:
data(sp500ret)
fit = autoarfima(data = sp500ret[1:1000,], ar.max = 2, ma.max = 2,
criterion = "AIC", method = "full")
## End(Not run)
``` |