autofit: Find the best model from a range of possible ARMA models

Description

Find the best model from a range of possible ARMA models

Usage

autofit(x, p = 0:5, q = 0:5)

Arguments

Data vector (typically residuals from Resid)

Range of AR orders

Range of MA orders

Value

Returns an ARMA model consisting of a list with the following components.
phiAR coefficients
thetaMA coefficients
sigma2White noise variance
aiccAkaike information criterion corrected
se.phiStandard errors for the AR coefficients
se.thetaStandard errors for the MA coefficients

Details

Tries all combinations of p and q and returns the model with the lowest AICC. The arguments p and q should be small ranges as this function can be slow otherwise. The innovations algorithm is used to estimate white noise variance.

Examples

Run this code

xv = c("diff",1)
e = Resid(dowj,xv)
a = autofit(e)
print(a)