arOrderSelection: Order selection in autoregressive modeling for time series

In JieGroup/bc: Model Selection with Bridge Criterion

Description

For a sequence of 1d time series, this function can be used to fit autoregressive model and select the most appropriate order.

Usage

arOrderSelection(x, maxOrder = NULL, criteria = c("BC"),
  fitMethod = "yule-walker", penaltyBC = NULL)

Arguments

x	Vector of 1d time series data
maxOrder	Integer of the maximum order under consideration
criteria	Vector of strings ('AIC, BIC, BC') indicating criterion to use in selecting the final subset
fitMethod	String ("yule-walker", "burg", "ols", "mle", or "yw") indicating which method to use for fitting the autoregression.
penaltyBC	Vector of non-default penalty values in using BC, default to NULL so that only the suggested value n^(1/3) will be considered

Value

Vector (cri_opt) of indices of candidate models

Vector (cri_name) of the criteria used

Vector (PI) of parametricness index, default to one value that corresponds to the default BC penalty

JieGroup/bc documentation built on June 1, 2019, 12:48 p.m.