SummaryModel function

Collects All Models Specified by "arimaSpec"

Collects all models Specified by "arimaSpec".

SummaryModel(x, maxorder = c(5, 1, 3), criterion = "bic", method = "CSS")

Arguments

• x: T by k data matrix: T data points in rows with each row being data at a given time point, and k time series in columns.
• maxorder: Maximum order of $(p,d,q)$ where $p$ is the AR order, $d$ the degree of differencing, and $q$ the MA order. Default value is (5,1,3).
• criterion: Information criterion used for model selection. Either AIC or BIC. Default is "bic".
• method: Estimation method. See the arima command in R. Possible values are "CSS-ML", "ML", and "CSS". Default is "CSS".

Returns

A list containing:

• Order - Orders $(p, d, q)$ of each series. A matrix of (ncol(x),3). The three columns are "p", "d", "q".
• Mean - A logical vector indicating whether each series needs a constant (or mean).
• M1 - A matrix with three columns (p, 0, q). The number of rows is the number of stationary time series. M1 is NULL if there is no stationary series.
• M2 - A matrix with three columns (p, 1, q). The number of rows is the number of first-differenced series. M2 is NULL if there is no first-differenced series.
• M3 - A matrix with three columns (p, 2, q). The number of rows is the number of 2nd-differenced series. M3 is NULL if there is no 2nd-differenced series.
• data - Time series.

Examples

x <- matrix(rnorm(300, mean = 10, sd = 4), ncol = 3, nrow = 100)
summary <- SummaryModel(x)