Which attribute should consider as best fitted model AICc or RMSE in auto.arima? I am having a case of
best$aicc <- Inf
for(i in 1:25){
r = fourier(timeSeries,K=i)
ar <- auto.arima(anotherTimeseries, xreg= r, seasonal = false)
if(ar$aicc < best$aicc){
best = ar /* this part is reached only once for my data, the only first value is set as best and the aicc value keep on increasing*/
}else{
acc <- accuracy(ar)
acc1 <- accuracy(best)
/* check the RMSE accuracy rate and the set lowest RMSE value to best*/
}
forecast(best, xreg = (best i value from pervious value), h= 104)
}
Now, The doubt is whether I need to choose a best fitting model based on aicc value or RMSE value check (in the else part). Which approach will be proper?
AICC RMSE
1642.857 acc- 233.6344
acc1 - 234.3495
1651.623 acc- 233.3246
acc1 - 234.3495
acc- 232.7801
1656.273 acc1- 234.3495
RMSE value decreases in every step but AICC value increases. Which one would be better arima model ? Thanks in advance for the suggestions