[R] slowness of auto.arima() from package forecast (was Execution time very high in linux)
Joao Santos
jcsantos at student.dei.uc.pt
Mon Nov 12 12:38:46 CET 2007
Hello Bernardo,
Thanks for replying but I think that you miss a small detail, my frequency
isn't 1 but 168 and it looks like this is the bottleneck.
João Santos
Bernardo Rangel tura wrote:
>
>
> 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
>
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> and provide commented, minimal, self-contained, reproducible code.
>
>
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