Timeline for Selecting ARIMA Order using Rolling Forecast
Current License: CC BY-SA 3.0
6 events
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| Apr 24, 2016 at 19:31 | comment | added | ndderwerdo | Thank you, I'll check those packages out. I've also added some pseudo code to make it clearer what I haven in mind. I'm not the greatest with loops so if you have any tips I'm all ears. | |
| Apr 24, 2016 at 19:04 | comment | added | Richard Hardy |
I don't know concrete examples, but the idea seems very natural. With regards to implementation, function arfimacv from "rugarch" package in R could be useful.
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| Apr 24, 2016 at 19:01 | comment | added | ndderwerdo | Thank you for your answer. This is what I suspected, you specify the models up front and then use the rolling forecast to compare their accuracy. I think what I have in mind is to use a loop to create models for all combinations of p = 10 to 1, d=2 to 0, q = 10 to 1, then use a rolling forecast to evaluate those models, and pick out the one that say has the lowest mape. Do you know of any examples like that, or can you suggest how to do it? | |
| Apr 24, 2016 at 18:49 | vote | accept | ndderwerdo | ||
| Apr 24, 2016 at 9:49 | history | edited | Richard Hardy | CC BY-SA 3.0 |
added 137 characters in body
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| Apr 24, 2016 at 9:43 | history | answered | Richard Hardy | CC BY-SA 3.0 |