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fit11
2006 Sep 28
0
AIC in R
...ntext.
Concerning R, it seems that the penalty term is p+q+1 in a zero mean model,
and p+q+1+1 = p+q+2 for a ARMA(p,q) model with a constant term. See the
following examples:
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set.seed(1)
serieAR1 = arima.sim(100,model=list(ar= 0.5))
fit1AR1 = arima(serieAR1, order = c(0, 0, 0), include.mean = T)
fit2AR1 = arima(serieAR1, order = c(1, 0, 0), include.mean = T)
fit3AR1 = arima(serieAR1, order = c(1, 0, 0), include.mean = F)
fit4AR1 = arima(serieAR1, order = c(1, 0, 1), include.mean = T)
fit5AR1 = arima(serieAR1, order = c(1, 0, 1), i...