R: Automatic Model Selection for ARFIMA models

autoarfima {rugarch}

R Documentation

Automatic Model Selection for ARFIMA models

Description

Select best fitting ARFIMA models based on information criteria.

Usage

autoarfima(data, ar.max = 2, ma.max = 2, criterion = c("AIC","BIC","SIC","HQIC"),
		method = c("partial", "full"), arfima = FALSE, include.mean = NULL, 
		distribution.model = "norm",
		parallel = FALSE, parallel.control = list(pkg = "snowfall", cores = 2), 
		external.regressors = NULL, solver = "solnp", solver.control=list(), 
		fit.control=list(), return.all = FALSE)

Arguments

`data`	A univariate data object. Can be a numeric vector, matrix, data.frame, zoo, xts, timeSeries, ts or irts object.
`ar.max`	Maximum AR order to test for.
`ma.max`	Maximum MA order to test for.
`criterion`	Information Criterion to use for selecting the best model.
`method`	The partial method tests combinations of consecutive orders of AR and MA i.e. 1:2, 1:3 etc, while the full method tests all possible combinations within the consecutive orders thus enumerating the complete combination space of the MA and AR orders. .
`arfima`	Can be TRUE, FALSE or NULL in which case it is tested.
`include.mean`	Can be TRUE, FALSE or NULL in which case it is tested.
`parallel`	Whether to make use of parallel processing on multicore systems.
`parallel.control`	The parallel control options including the type of package for performing the parallel calculations (‘multicore’ for non-windows O/S and ‘snowfall’ for all O/S), and the number of cores to make use of.
`external.regressors`	A matrix object containing the external regressors to include in the mean equation with as many rows as will be included in the data (which is passed in the fit function).
`distribution.model`	The distribution density to use for the innovations (defaults to Normal).
`solver`	One of either “nlminb”, “solnp”, “gosolnp” or “nloptr”.
`solver.control`	Control arguments list passed to optimizer.
`fit.control`	Control arguments passed to the fitting routine.
`return.all`	Whether to return all the fitted models or only the best one.

Value

A list with the following items:

`fit`	Either the best fitted model or all the fitted models if the option ‘return.all’ was selected.
`rank.matrix`	Either a sorted matrix of the models and their information criterion, else an unsorted matrix of the models and their information criterion if the option ‘return.all’ was selected.

Author(s)

Alexios Ghalanos

Examples

## Not run: 
data(sp500ret)
fit = autoarfima(data = sp500ret[1:1000,], ar.max = 2, ma.max = 2, 
criterion = "AIC", method = "full")

## End(Not run)

[Package rugarch version 1.0-10 Index]