[R] slowness of auto.arima() from package forecast (was Execution time very high in linux)

[Bernardo Rangel Tura]

On Fri, 2007-11-09 at 06:58 -0800, Joao Santos wrote:
> Hello,
> 
> EXAMPLE
> ##Create time series
> bb_500 = scan("my_file.dat")
> ts <- ts(bb_500, frequency=168)
> 
> ts
> Time Series:
> Start = c(1, 1) 
> End = c(3, 164) 
> Frequency = 168 
>   [1] 61 60 60 59 58 58 58 58 58 61 64 65 65 64 64 64 63 63 62 61 60 60 60
(...)

> ##Find the best model using auto.arima() from package forecast 
> 
> system.time(fit.500<-auto.arima(ts, d = NA, D = NA, max.p = 2, max.q = 2,
>             max.P = 1, max.Q = 1, max.order = 5,
>             start.p=0, start.q=0, start.P=0, start.Q=0,
>                         stationary = FALSE, ic = c("aic","aicc", "bic"), 
>             stepwise=FALSE, trace=TRUE))
> (...)

>  ARIMA(2,0,2)(1,1,0)[168]          : 1e+20 *
>  ARIMA(2,0,2)(1,1,0)[168] with drift         : 1e+20 *
> 
> ##    user   system  elapsed 
> ##19041.573  3806.364 22849.199 -> ~6 hours 

Hi João !

In my computer (using ubuntu 7.10)  my output with stepwise=F is

 ARIMA(0,0,0) with zero mean     : 5593.194
 ARIMA(0,0,0) with zero mean     : 3590.859
 ARIMA(0,0,1) with zero mean     : 4913.543
 ARIMA(0,0,1) with zero mean     : 2970.582
 ARIMA(0,0,2) with zero mean     : 4303.206
 ARIMA(0,0,2) with zero mean     : 2591.151
 ARIMA(1,0,0) with zero mean     : 1e+20
 ARIMA(1,0,0) with zero mean     : 2395.506
 ARIMA(1,0,1) with zero mean     : 2161.814
 ARIMA(1,0,1) with zero mean     : 2140.694
 ARIMA(1,0,2) with zero mean     : 2116.413
 ARIMA(1,0,2) with zero mean     : 2087.563
 ARIMA(2,0,0) with zero mean     : 2127.992
 ARIMA(2,0,0) with zero mean     : 2065.447
 ARIMA(2,0,1) with zero mean     : 2108.049
 ARIMA(2,0,1) with zero mean     : 2059.157
 ARIMA(2,0,2) with zero mean     : 2108.159
 ARIMA(2,0,2) with zero mean     : 2057.5

   user  system elapsed 
  1.016   0.012   2.011 

with stepwise=T the output is:

 ARIMA(0,0,0) with zero mean     : 3590.859
 ARIMA(0,0,0) with zero mean     : 3590.859
 ARIMA(1,0,0) with zero mean     : 2395.506
 ARIMA(0,0,1) with zero mean     : 2970.582
 ARIMA(2,0,0) with zero mean     : 2065.447
 ARIMA(2,0,1) with zero mean     : 2059.157
 ARIMA(2,0,1) with zero mean     : 2108.049
 ARIMA(1,0,1) with zero mean     : 2140.694
 ARIMA(2,0,2) with zero mean     : 2057.5
 ARIMA(2,0,2) with zero mean     : 2108.159
 ARIMA(1,0,2) with zero mean     : 2087.563

 Best model: ARIMA(2,0,2) with zero mean     

   user  system elapsed 
  0.752   0.004   0.796 

I using a AMD SEMPRO 2800+ with 1 Gb RAM so I think the slow output is
because other cause.



-- 
[]s
Tura