Have you considered using the auto.arima function in the 'forecast' package? It searches for the best ARIMA model using the AIC, AICc, or BIC criteria. It might save you a lot of aggravation.
Paul Teetor, Elgin, IL USA http://quanttrader.info/public ________________________________ From: BSanders <[email protected]> To: [email protected] Sent: Sun, January 16, 2011 10:42:14 PM Subject: [R-SIG-Finance] I want to find the best arima model using AIC criterion, but having problems I'm running a loop for trying to find the best ARIMA seasonal model. I'm experimenting with different orders of AR, MA and differencing.., but when I run my loops, I'm getting an error such as "Error in optim(init[mask], armafn, method = optim.method, hessian = TRUE, : non-finite finite-difference value [3] " and R exits the loop, however, it isn't finished. Is there a way to make R continuing what it should? My code looks like this below : count = 0 for(i in 0:7){ for(j in 0:2) { for(k in 0:1) { for(l in 0:1) { for(m in 0:2) { for(n in 0:1) { for(o in 1:2) { model = arima(y, order=c(i,j,k), seasonal=list(order=c(l,m,n), period=7*o)) if (count == 0){ aicmin = model$aic bestmodel = model } if ((count != 0)&& (model$aic < aicmin)){ aicmin = model$aic bestmodel = model diff1 = j diff2 = m seas = o*7 } count = count+1 } } } } } } } print(bestmodel) print(count) print(diff1) print(diff2) print(seas) -- View this message in context: http://r.789695.n4.nabble.com/I-want-to-find-the-best-arima-model-using-AIC-criterion-but-having-problems-tp3220695p3220695.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
