Auto Arima InSample Forecast Accuracy Optimization

Auto Arima InSample Forecast Accuracy Optimization

rm(list=ls())
dev.off(dev.list()["RStudioGD"])

#################
par(mfrow=c(1,2)) # I want to plot 3 graphs in 1 column

set.seed(2017) 

nos <- 1000
my_ar <- -0.6
my_ma <- 0.5

y <- arima.sim(n = nos, list(ar = my_ar, ma = my_ma))
plot(y)
hist(y)


fit <- forecast::auto.arima(y, trace  = T, ic ='aic')
fit
forecast::accuracy(fit)

##########

auto.arima_ins_acc <- function(y, p, d, q, acc_coef){
  mx_p <- p+1
  mx_q <- q+1
  
  x <- matrix(data = NA, nrow=mx_p, ncol=mx_q)
  for(i in 0:p){
    for(j in 0:q){
      fit <- arima(y, order=c(i,d,j))
      acc <- forecast::accuracy(fit)
      x[i+1,j+1] <- acc[[acc_coef]] 
      print(i);print(j)
    }
    
  }
  rownames(x) <- 0:p
  colnames(x) <- 0:q
  opt <- which(x==min(x), arr.ind=T)-1
  rownames(opt) <- 'optimum lags'
  colnames(opt) <- c('p', 'q')
  val <- list(x=x, optimum <- opt)
  val
}

xx <- auto.arima_ins_acc(y, p=5, d=0, q=2, acc_coef = 5)
xx

tseries::adf.test(y)