Dear R-helpers.
Would appreciate if someone can explain the warning messages below, after
auto.arima. I couldn't find any clue in the archived help.
Also, how do I retrieve the AICs of each tried model in auto.arima? The
purposes are (1) to output to a text file, and (2) to find the 2nd best
model by finding 2nd lowest AIC instead of eyeballing thru the value at the
console screen.
For those models with drift, how can I find out what are the drifts? For
example, eyeballing thru, my 2nd best model is ARIMA(1,1,1) with drift but
it didn't state what is the drift.
Many thanks.
> modelarima <- auto.arima(Price[1:nTrain], trace=TRUE)
ARIMA(2,1,2) with drift : 4417.541
ARIMA(0,1,0) with drift : 4538.817
ARIMA(1,1,0) with drift : 4424.534
ARIMA(0,1,1) with drift : 4457.507
ARIMA(1,1,2) with drift : 4416.070
ARIMA(1,1,1) with drift : 4414.328
ARIMA(1,1,1) : 4413.551
ARIMA(0,1,1) : 4458.788
ARIMA(2,1,1) : 4415.887
ARIMA(1,1,0) : 4424.668
ARIMA(1,1,2) : 4415.277
ARIMA(0,1,0) : 4542.161
ARIMA(2,1,2) : 4416.889
Best model: ARIMA(1,1,1)
Warning message:
In if (class(fit) != "try-error") offset <- -2 * fit$loglik -
length(x) * :
the condition has length > 1 and only the first element will be used
----
Chua Siang Li
Consultant - Operations Research
Acceval Pte Ltd
Tel: 6297 8740
Email: siang.li.chua at acceval-intl.com
Website: www.acceval-intl.com
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