如何从 auto.arima 中提取积分阶数 (d)

Question

基本上我们可以通过以下方式从 auto.arima 中提取最佳 AR 顺序

> auto.arima(ret.fin.chn,trace=TRUE,allowdrift=TRUE)

  ARIMA(2,0,2) with non-zero mean : -14242.19
  ARIMA(0,0,0) with non-zero mean : -14239.24
  ARIMA(1,0,0) with non-zero mean : -14241.3
  ARIMA(0,0,1) with non-zero mean : -14238.16
  ARIMA(1,0,2) with non-zero mean : -14237.65
  ARIMA(3,0,2) with non-zero mean : -14242.72
  ARIMA(3,0,1) with non-zero mean : -14239.52
  ARIMA(3,0,3) with non-zero mean : -14242.5
  ARIMA(2,0,1) with non-zero mean : -14237.15
  ARIMA(4,0,3) with non-zero mean : -14238.06
  ARIMA(3,0,2) with zero mean     : -14244.39
  ARIMA(2,0,2) with zero mean     : -14243.98
  ARIMA(4,0,2) with zero mean     : -14241.45
  ARIMA(3,0,1) with zero mean     : -14241.23
  ARIMA(3,0,3) with zero mean     : -14244.04
  ARIMA(2,0,1) with zero mean     : -14238.78
  ARIMA(4,0,3) with zero mean     : -14239.73


 Best model: ARIMA(3,0,2) with zero mean


 Series: ret.fin.chn 
 ARIMA(3,0,2) with zero mean     

 Coefficients:
          ar1      ar2     ar3      ma1     ma2
       0.5497  -0.4887  0.0461  -0.5691  0.4923
 s.e.  0.3525   0.1764  0.0232   0.3534  0.1878

 sigma^2 estimated as 0.0003277:  log likelihood=7127.67
 AIC=-14243.35   AICc=-14243.32   BIC=-14207.83
 Warning messages:
 1: In if (is.constant(x)) { :
   the condition has length > 1 and only the first element will be used
 2: In if (is.constant(x)) return(d) :
   the condition has length > 1 and only the first element will be used
 3: In if (is.constant(dx)) { :
   the condition has length > 1 and only the first element will be used

现在将结果存储到对象 a

> a<-auto.arima(ts(ret.fin.chn),trace=TRUE,allowdrift=TRUE)

然后

> a$arma[1]

而对于最佳 MA 排序

> a$arma[2]

现在看这部分最佳模型：均值为零的 ARIMA(3,0,2) 这是 ARIMA(p,d,q) 顺序 我已经知道如何提取 AR(p) 和 MA(q) 顺序，但是如何提取积分（d）顺序并注意我已经尝试过，ndiffs有时它给出的结果与最佳模型不同，也许它在$arma[?]???的某个地方

Answer 1

更一般地，顺序 (d) 是倒数第二个元素；季节顺序 (D) 是最后一个。所以-

• a$arma[length(a$arma)-1]是顺序 d
• a$arma[length(a$arma)]是季节顺序