R/aic5.R

In josephsdavid/tswgewrapped: Helpful wrappers for 'tswge', 'vars' and 'nnfor' time series packages

expand <- function(v1,v2){
  c(sapply(v1, function (x) rep(x, length(v2)) ))
}

rewrite <- function(v1, v2){
  rep(v1, length(v2))
}

getpq <- function(x, p=8,q=5, type = "aic", silent = TRUE){
  if (silent == FALSE){
    cat("Calculating ",type," for ARMA(",p,", ", q,")\n", sep = "")
  }
  res <- try(tswge::aic.wge(x, p,q,type))
  if (is.list(res)) {
    out <- c(res$p, res$q, res$value)
  } else {
    out <- c(p,q,9999)
  }
  out
}

#' aic5: slightly faster model estimations
#' todo: rewrite backcast and aic.wge for real speed gains
#' returns the top 5 aic
#' @param x Time series realization
#' @param p integer vector of the ar order
#' @param q integer vector of the ma order
#' @param type metric to be used to compute top 5 models (aic, aicc, or bic)
#' @param silent whether or not to return output 
#' @return a data frame of top 5 models
#' @export
#' @examples
#' xs <- playground(200)
#' aic5(xs)
aic5 <- function(x, p = 0:8, q = 0:5, type= "aic", silent = TRUE){
  ip <- expand(p,q)
  iq <- rewrite(q,p)
  out <- mapply(function(v1,v2) getpq(x, v1, v2, type, silent), ip, iq)
  out <- (as.data.frame(t(out)))
  colnames(out) <- c("p","q",type)
  utils::head(out[order(out[, 3], decreasing = F),], 5)

}