在 R 的 auto.arima() function 中，我如何找到该 arima 的 p、d、q 值

Question

I used an R code with an auto.arima function on a time series data set to forecast. From here, Id like to know how to find the p,d,q values for the arima. Is there a quick way to determine that, thank you.

Answer 1

The forecast::auto.arima() function was written to pick the optimal p, d, and q with respect to some optimization criterion (eg AIC). If you want to see which model was picked, use the summary() function.

For example:

fit <- auto.arima(lynx)
summary(fit)

 Series: lynx ARIMA(2,0,2) with non-zero mean Coefficients: ar1 ar2 ma1 ma2 mean 1.3421 -0.6738 -0.2027 -0.2564 1544.4039 se 0.0984 0.0801 0.1261 0.1097 131.9242 sigma^2 estimated as 761965: log likelihood=-932.08 AIC=1876.17 AICc=1876.95 BIC=1892.58 Training set error measures: ME RMSE MAE MPE MAPE MASE ACF1 Training set -1.608903 853.5488 610.1112 -63.90926 140.7693 0.7343143 -0.01267127

Where you can see the particular specification in the second row of the output. In this example, auto.arima picks an ARIMA(2,0,2).

Note that I did this naively here for demonstration purposes. I didn't check whether this is an accurate representation of the dependency structure in the lynx data set.

Answer 2

Other than summary() , you could also use arimaorder(fit) to get the vector c(p,d,q) or as.character(fit) to get "ARIMA(p,d,q)" .