I have several hundred times series data sets and I am trying to use
auto.arima(), in the forecasting package, to take a first stab at fitting an
ARIMA model to each set. Ideally I would like to loop through each time
series use auto.arima() to fit a model and output the R^2 of the model and
the parameters.
I know how to fit each model but I am having trouble generating the
necessary output. I have this.
x = c(-0.007004338981206, 0.0022575799741098, 0.0124541354151786, ...) #
there are several hundred observations
x_class = aut0.arima(x, d = 0, max.p = 20, min.p = 20) #define x_class as
specified ARIMA
order = x_class[7] #get model order
However, I am unsure how to calculate the r^2 of the fitted model. How would
I go about calculating that value?
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