Question

我需要估计最适合我的数据的ARMA（p，q）模型的顺序。我计划使用auto.arima（）函数。在实际将此功能应用于实际数据之前，我在模拟的ARMA（2,2）模型上对其进行了测试，但是auto.arima告诉我ARMA（0,0）是最佳拟合模型。我在做错什么吗？

我的R代码是：

    arma.sim<-arima.sim(model=list(ar=c(.9,-.2),ma=c(-.7,.1)),n=100)
    auto.arima(arma.sim, ic = "bic", stepwise = FALSE, stationary = TRUE, 
               trace=TRUE, approximation = FALSE, d=0)

，输出为：

 ARIMA(0,0,0) with zero mean     : 285.6369
 ARIMA(0,0,0) with non-zero mean : 290.2392
 ARIMA(0,0,1) with zero mean     : 290.211
 ARIMA(0,0,1) with non-zero mean : 294.8129
 ARIMA(0,0,2) with zero mean     : 294.5108
 ARIMA(0,0,2) with non-zero mean : 299.1143
 ARIMA(0,0,3) with zero mean     : 299.1079
 ARIMA(0,0,3) with non-zero mean : 303.7112
 ARIMA(0,0,4) with zero mean     : 303.4891
 ARIMA(0,0,4) with non-zero mean : 308.0936
 ARIMA(0,0,5) with zero mean     : 306.2664
 ARIMA(0,0,5) with non-zero mean : 310.8631
 ARIMA(1,0,0) with zero mean     : 290.2075
 ARIMA(1,0,0) with non-zero mean : 294.8092
 ARIMA(1,0,1) with zero mean     : Inf
 ARIMA(1,0,1) with non-zero mean : Inf
 ARIMA(1,0,2) with zero mean     : 298.9777
 ARIMA(1,0,2) with non-zero mean : 303.581
 ARIMA(1,0,3) with zero mean     : Inf
 ARIMA(1,0,3) with non-zero mean : Inf
 ARIMA(1,0,4) with zero mean     : 307.8321
 ARIMA(1,0,4) with non-zero mean : 312.4367
 ARIMA(2,0,0) with zero mean     : 294.4807
 ARIMA(2,0,0) with non-zero mean : 299.0844
 ARIMA(2,0,1) with zero mean     : 298.9845
 ARIMA(2,0,1) with non-zero mean : 303.5879
 ARIMA(2,0,2) with zero mean     : Inf
 ARIMA(2,0,2) with non-zero mean : Inf
 ARIMA(2,0,3) with zero mean     : Inf
 ARIMA(2,0,3) with non-zero mean : Inf
 ARIMA(3,0,0) with zero mean     : 299.0557
 ARIMA(3,0,0) with non-zero mean : 303.659
 ARIMA(3,0,1) with zero mean     : 303.5876
 ARIMA(3,0,1) with non-zero mean : 308.1908
 ARIMA(3,0,2) with zero mean     : Inf
 ARIMA(3,0,2) with non-zero mean : Inf
 ARIMA(4,0,0) with zero mean     : 303.5521
 ARIMA(4,0,0) with non-zero mean : 308.1561
 ARIMA(4,0,1) with zero mean     : 308.0647
 ARIMA(4,0,1) with non-zero mean : 312.6687
 ARIMA(5,0,0) with zero mean     : 307.3978
 ARIMA(5,0,0) with non-zero mean : 311.999



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

Series: arma.sim 
ARIMA(0,0,0) with zero mean 

sigma^2 estimated as 0.9728:  log likelihood=-140.52
AIC=283.03   AICc=283.07   BIC=285.64

auto.arima函数给出错误的估计

0 个答案: