artfima (version 1.3)

best_glp_models: Best AIC/BIC Models for Specified GLP

Description

This function is used by bestModels

Usage

best_glp_models(z, glp = c("ARTFIMA", "ARFIMA", "ARIMA"), p = 2, q = 2, 
   likAlg = c("exact", "Whittle"))

Arguments

z

time series

glp

glp is equal to one of the following choices: "ARTFIMA", "ARFIMA" or "ARIMA"

p

maximum order of AR component

q

maximum order of MA component

likAlg

likAlg = c("exact", "Whittle")) either "exact" or "Whittle"

Value

• A list with 4 entries:
• LL
  log-likelihood of models
• artfima_time
  total time
• aic
  list with best aic models
• bic
  list with best bic models
• Each of the components aic and bic is a list with three components:
• bestaic
  best aic models
• bestbicModel
  best model
• aic
  plausability
• Similarly for the bic component.

See Also

bestModels

Examples

#takes about 4 minutes. Checking result for bestmodels()
z<-tseg(1000, "BJARMA11")
ansARIMA <- best_glp_models(z, glp = "ARIMA", p=2, q=2)
ansARFIMA <- best_glp_models(z, glp = "ARFIMA", p=2, q=2)
ansARTFIMA <- best_glp_models(z, glp = "ARTFIMA", p=2, q=2)
ansARIMA$bic$bic
ansARFIMA$bic$bic
ansARTFIMA$bic$bic
bestModels(z)