The help file states: "The exact likelihood is computed via a state-space
representation of the ARIMA process, and the innovations and their variance
found by a Kalman filter." It is possible to include exogenous variables
(xreg) this way, but one can only assume this is done [only one person knows
for sure... the person who wrote the final version of arima(), and I hope he
chimes in to this]. If this is the case, then there is a likelihood
evaluation and AIC [or similar criteria, e.g., BIC and so on] would apply.
00alastair00 wrote:>
> Hello,
> Does anyone know how the parameter estimates are calculated for xreg
> variables when called as part of an arima() command, or know of any
> literature that provides this info? In particular, I was wondering if
> there is a quick way to compare different combinations of "xreg"
variables
> in the arima() fit in the same way that you would in multiple regression
> (using AIC & R^2 etc.).
>
> Thanks very much!
>
>
>
-----
The power of accurate observation is commonly called cynicism
by those who have not got it. George Bernard Shaw
--
View this message in context:
http://www.nabble.com/%22xreg%22-in-ARIMA-modelling.-tp20718058p20727625.html
Sent from the R help mailing list archive at Nabble.com.