The help file states: "The exact likelihood is computed via a state-space representation of the ARIMA process, and the innovations and their variance found by a Kalman filter." It is possible to include exogenous variables (xreg) this way, but one can only assume this is done [only one person knows for sure... the person who wrote the final version of arima(), and I hope he chimes in to this]. If this is the case, then there is a likelihood evaluation and AIC [or similar criteria, e.g., BIC and so on] would apply.
00alastair00 wrote: > > Hello, > Does anyone know how the parameter estimates are calculated for xreg > variables when called as part of an arima() command, or know of any > literature that provides this info? In particular, I was wondering if > there is a quick way to compare different combinations of "xreg" variables > in the arima() fit in the same way that you would in multiple regression > (using AIC & R^2 etc.). > > Thanks very much! > > > ----- The power of accurate observation is commonly called cynicism by those who have not got it. George Bernard Shaw -- View this message in context: http://www.nabble.com/%22xreg%22-in-ARIMA-modelling.-tp20718058p20727625.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
