Fit an ARIMA model to the fractionally differenced series using auto.arima. Compare the models selected using AIC

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Fit an ARIMA model to the fractionally differenced series using auto.arima. Compare the models selected using AIC and BIC.

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Statistics And Data Analysis For Financial Engineering

ISBN: 9781461427490

1st Edition

Authors: David Ruppert

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Question Posted: Jun 24, 2016 06:28 AM

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Fit an ARIMA model to the fractionally differenced series using auto.arima. Compare the models selected using AIC

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If we run autoarima on the time series fdiff we see that this routine will choose to model this with ...View the full answer

Statistics And Data Analysis For Financial Engineering

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