[R] Extracting AICc and BIC from an ARIMA model.

[Rui Barradas]

Hello,



Em 19-10-2013 19:07, David Winsemius escreveu:
>
> On Oct 19, 2013, at 10:32 AM, David Winsemius wrote:
>
>>
>> On Oct 19, 2013, at 3:44 AM, Chris89 wrote:
>>
>>> Hi everyone!
>>>
>>> I am making some time series models, and as i want to compare a lot of
>>> models I thought it would be smart to compare the AIC, AICc and BIC values
>>> from the models. My question is, how can I extract the BIC and AICc from the
>>> model?
>>>
>>> As an example:
>>>
>>> kings <- scan("http://robjhyndman.com/tsdldata/misc/kings.dat",skip=3)
>>> mod = arima(kings, order = c(1,0,0), include.mean=T)
>>>
>>> obviously summary(mod) would suffice,
>>
>> How would that "obviously" suffice? There is no summary.Arima function, at least that I see. (Maybe you have loaded an additonal package that you were asked to tell us about?)
>>
>>
>>> but I don't want to have to look
>>> through all the models (as there are alot... )
>>
>> The models already have an "aic" element:
>>
>>> modList <-list(mod,mod2);  sapply(modList, "[", "aic")
>> $aic
>> [1] 352.8227
>>
>> $aic
>> [1] 352.8227
>>
>> (Please read the Fine Posting Guide.)
>
> I evemtually did find an hidden and undocumented `summary.Arima` function in the 'forecast' package, but most (all?) of its output was via side-effects. It also appeared that it initially called another hidden function `print.Arima` also using side-effects rather than retruning an object.
>
> library(forecast)
> forecast:::print.Arima
>
> The code may be useful if you want to make a parred-down version that spits out AIC, BIC, AICc.

As for AIC, there's an AIC method for objects of class Arima. Using the 
example data and model given by the op,

AIC(mod)
[1] 352.8227

or maybe

lapply(modList, AIC)


Hope this helps,

Rui Barradas
>
>
>>
>> --
>>
>> David Winsemius
>> Alameda, CA, USA
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
> David Winsemius
> Alameda, CA, USA
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>