如何使用auto.arima函数专门检查ARIMA中AR或MA的顺序值，用于使用R的时间序列数据

Question

How do I check what the order of q of MA(q) or p of AR(p) or p alone in ARIMA(p,d,q) or q in ARIMA(p,d,q) . If I simulate a time series data with arima.sim like this.

sim <- arima.sim(n=100, list(order = c(1, 0, 1), ar=0.7, ma=-0.3), sd=sqrt(1))

mis <- auto.arima(sim)

I want a function like p<-function(mis,...) or q<-function(mis,...) or d<-function(mis,...) that will print out 1 for p or 1 for q and 0 for d

How do I save the values of p,q,d seperately so I can call each for reuse?

Answer 1

I'm not sure if it's possible to get back the order= of the simulation consistently, since the results of auto.arima may differ. However the auto.arima result is stored inside mis$arma .

set.seed(42)
sim <- arima.sim(list(order=c(1, 0, 1), ar=0.7, ma=-0.3), sd=sqrt(1), n=100)
mis <- auto.arima(sim)
mis
# Series: sim 
# ARIMA(1,0,0) with zero mean 
# 
# Coefficients:
#   ar1
# 0.4188
# s.e.  0.0903
# 
# sigma^2 estimated as 0.9638:  log likelihood=-139.65
# AIC=283.29   AICc=283.41   BIC=288.5
fun <- function(x) setNames(x$arma[c(1, 6, 2)], c("p", "d", "q"))
fun(mis)
# p d q 
# 1 0 0

The function can be extended to switch between the order= elements:

fun2 <- function(x, v) {
  if (!v %in% c("p", "d", "q"))
  stop('v has to be in c("p", "d", "q")')
  r <- x$arma
  setNames(switch(v, p=r[1], d=r[6], q=r[2]), v)
}
fun2(mis, "p")
# p 
# 1 

You may also use:

fun2(mis, "d")
fun2(mis, "q")

You see, the result of the function at least corresponds with the output of auto.arima . You may check this with other set.seed s to vary the results.

The explanation of the c(1, 6, 2) order can be derived from the "Value" section of the ?arima help page, which instructs to decipher mis$arma as follows:

setNames(mis$arma,
         c("AR", "MA", "seas.AR", "seas.MA", 
           "period", "n.seas.dif", "seas.dif"))
# AR         MA    seas.AR    seas.MA     period n.seas.dif   seas.dif 
# 1          0          0          0          1          0          0