sSummaryModel function

Collects All Models Specified by "sarimaSpec"

Models specified by "sarimaSpec".

sSummaryModel(
  x,
  maxorder = c(3, 1, 2),
  period = 12,
  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 ARIMA model $(p,d,q)$ where $p$ is the AR order, $d$ the degree of differencing, and $q$ the MA order. Default value is (3,1,2).
• period: Seasonal period. The default is 12.
• 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 - Order of ARIMA model $(p, d, q, P, D, Q)$ of each series. A matrix of (ncol(x),6). The six columns are "p","d","q", "P", "D", "Q".
• Mean - A logical vector indicating whether each series needs a constant (or mean).
• M1 - Contains orders the stationary series.
• M2 - Contains orders of series with (d=1) and (D=0).
• M3 - Contains orders of series with (d=2) and (D=0).
• M4 - Contains orders of series with (d=0) and (D=1).
• M5 - Contains orders of series with (d=1) and (D=1).
• M6 - Contains orders of series with (d=2) and (D=1).

Examples

data(TaiwanAirBox032017)
summary <- sSummaryModel(TaiwanAirBox032017[,1:3])