UnitRoot <akhussanov <at> gmail.com> writes: > > Hello, > I am having some problems with fitting an ARMA model to my time series data > (randomly generated numbers). The thing is I have tried many packages > [tseries, fseries, FitARMA etc.] and all of them giving very different > results. I would appreciate if someone could post here what the best package > is for my purpose. > Also, after having done the fitting, I would like to check for the model's > adequacy. How can I do this? > Thanks.
It's hard to say without more detail -- we don't know what your purpose is (beyond the general one of fitting an ARMA model to data). I would say that when in doubt, if there is functionality in 'core' R -- the base and recommended packages -- that it is likely to be the most stable and well tested. (Not always true -- there are some very good contributed packages, and sometimes the functions in R are missing some advanced features -- but a good rule of thumb.) So try ?arima. Another rule of thumb is that Venables and Ripley 2002 is a good starting point (although again not necessarily as extensive as specialized topics) for "how do I do xxx in R"? See Chapter 14. As suggested in the help for ?arima, ?tsdiag is "a generic function to plot time series diagnostics" ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.