[R] AICc vs AIC for model selection

Sun Jul 16 00:05:44 CEST 2006

Spencer Graves wrote:
> 	   Regarding AIC.c, have you tried RSiteSearch("AICc") and 
> RSiteSearch("AIC.c")?  This produced several comments that looked to me 
> like they might help answer your question.   Beyond that, I've never 
> heard of the "forecast" package, and I got zero hits for 
> RSiteSearch("best.arima"), so I can't comment directly on your question.

The forecast package is at
http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/

Kjetil

> 
> 	  Do you have only one series or multiple?  If you have only one, I 
> think it would be hard to justify more than a simple AR(1) model. 
> Almost anything else would likely be overfitting.
> 
> 	  If you have multiple series, have you considered using 'lme' in the 
> 'nlme' package?  Are you familiar with Pinheiro and Bates (2000) 
> Mixed-Effects Models in S and S-Plus (Springer)?  If not, I encourage 
> you to spend some quality time with this book.  My study of it has been 
> amply rewarded, and I believe yours will likely also.
> 
> 	  Best Wishes,
> 	  Spencer Graves
> 
> Sachin J wrote:
>> Hi,
>>    
>>   I am using 'best.arima' function from forecast package 
> to obtain point forecast for a time series data set. The
> documentation says it utilizes AIC value to select best ARIMA
> model. But in my case the sample size very small - 26
> observations (demand data). Is it the right to use AIC value for
> model selection in this case. Should I use AICc instead of AIC.
> If so how can I modify best.arima function to change the selection
> creteria? Any pointers would be of great help.
>>    
>>   Thanx in advance.
>>    
>>   Sachin
>>    
>>    
>>
>>  		
>> ---------------------------------
>>
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>>
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