[R] Fitting Arima Model to Daily Time Series

[Jose Iparraguirre]

Hi Paul,

There are different packages in R to fit an ARIMA model. I would use the forecast package.
In your case, perhaps you would want to explore SARIMA models to include seasonal components? 
Anyhow, the first port of call could be the auto.arima() function to select the best fitting representation according to AIC, AICc or BIC -but explore other representations as well.
To fit the models use the function Arima (note the capital "A"). The documentation in the package is very clear and comprehensive; the authors (Rob J Hyndman and George Athanasopoulos) published a free on-line book which will also help you: http://otexts.com/fpp/.
Hope this helps,

José


Prof. José Iparraguirre
Chief Economist
Age UK



-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Paul Bernal
Sent: 10 September 2013 22:54
To: r-help at r-project.org
Subject: [R] Fitting Arima Model to Daily Time Series

Hello everyone,

Hope everyone is doing great. I would like to know how to use the arima function in R to fit arima or arma models to daily data, that is, with period = 365, this taking into account the fact that I have 5 years worth of daily data (so 365 * 5 = my number of observations).

All I want is a very general line of code of I I would do to fit the arima model.

Any help will be greatly appreciated,

Have a wonderful day,

Paul

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