Analytics Vidhya
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Analytics Vidhya

A Complete Introduction To Time Series Analysis (with R):: Model Selection for ARMA(p,q)

AIC, AICc, and BIC metrics

In the last section, we learned about Gaussian Time Series, a powerful and flexible assumption when it comes to ARMA(p,q) parameters estimation. In this article, we will see how we can select the “best” model among a number of fitted models.

Maximum Likelihood Model Selection

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