Hi,
I've got a little problem using auto.arima.
I run the following command
auto.arima(drivers,ic="aic",d=1,D=1,max.order=10,max.p=5,max.q=5,max.P=5,max.Q=5,stepwise=FALSE,allowdrift=FALSE)
and I get the following output :
Series: drivers
ARIMA(0,1,1)(5,1,1)[12]
Coefficients:
ma1 sar1 sar2 sar3 sar4 sar5 sma1
-0.6421 -0.1341 -0.2063 -0.1076 -0.2361 -0.2205 -0.7387
s.e. 0.0718 0.1273 0.1061 0.1063 0.0938 0.1029 0.1312
sigma^2 estimated as 16916: log likelihood=-1137.18
AIC=2290.37 AICc=2291.21 BIC=2315.87
So the fitted model has an AIC of 2290,37. But if I use the TRACE option, I
see that R analysed models like
ARIMA(5,1,1)(3,1,0)[12] : 2175.377
ARIMA(5,1,1)(3,1,1)[12] : 2176.402
ARIMA(5,1,1)(4,1,0)[12] : 2155.935
which obviously have an inferior AIC... Since R is supposed to choose the
model minimizing the AIC criterion, I don't understand why he chose that
model. Is there something I misunderstood in the behavior of auto.arima ?
Thank in advance for any help...
Ludovic
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