Description Usage Arguments Details Value Author(s) Examples
From a matrix with values of an information criterion for different orders p and q of an autoregressive-moving-average (ARMA) model, the optimal orders are selected.
1 |
mat |
a numeric matrix, whose rows represent the AR orders
p = 0, 1, ..., p_max and whose columns
represent the MA orders q = 0, 1, q_max; the
elements of the matrix are then the values of an information criterion
calculated for ARMA models with the different order combinations; a matrix
returned by the function |
restr |
a single expression (not a character object) that defines
further restrictions; the standard logical operators, e.g. |
sFUN |
the selection function; is set to |
Given a matrix mat
filled with the values of an information criterion
for different estimated ARMA(p,q) models, where the rows represent
different orders p = 0, 1, ..., p_max and where
the columns represent the orders q = 0, 1, ...,
q_max, the function returns a vector with the optimal orders
p and q. Further selection restrictions can be passed to the
argument restr
as an expression. To implement a restriction, the rows
and columns are addressed via p
and q
, respectively. Moreover,
standard boolean operators such as ==
, >=
or &
can be
used. See the Section Examples for examples of different restrictions.
In many cases, the minimum value of a criterion is considered to indicate
the best model. However, in some other cases a different selection approach
might be appropriate. Therefore, a selection function can be considered by
means of the argument sFUN
. The default is sFUN = min
, i.e. the
function min
is applied to select the optimal
orders.
The function returns a vector with two elements. The first element is the optimal order p, whereas the second element is the selected optimal order q.
Sebastian Letmathe (Scientific Employee) (Department of Economics,
Paderborn University),
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