VoseTimeOptimalFit and related functions | Vose Software

VoseTimeOptimalFit and related functions

See also: VoseOptimalFit and related functions, VoseCopulaOptimalFit and related functions

 

{=VoseTimeOptimalFit ({FittedTimeSeriesObjects}, IC)}

 

 

VoseTimeOptimalFit is an array function that returns a random sample from the optimal fitting time series model amongst a set of fitted time series models.

{FittedTimeSeriesObjects} - an array of fitted time series model objects

IC - the information criteria to be used to determine which time series model fits optimal: 1 = AIC, 2 = SIC, 3 = HQIC.

See   Example model

 

Other related functions

VoseTimeOptimalFitObject ({FittedTimeSeriesObjects}, IC)   -  Returns the optimal fitting time series model object according to the selected information criteria.

VoseOptimalFitLLH ({FittedTimeSeriesObjects})  -   Returns the Log Likelihood of the optimal fitting time series model.

VoseOptimalFitAIC ({FittedTimeSeriesObjects})   -   Returns the Akaike information criteria of the optimal fitting time series model.

VoseOptimalFitHQIC ({FittedTimeSeriesObjects})  -  Returns the Hannan-Quinn information criteria of the optimal fitting time series model.

VoseOptimalFitSIC ({FittedTimeSeriesObjects})   -   Returns the Schwarz information criteria of the optimal fitting time series model.

 

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