使用历史Lynx Pelt数据(https://www.dropbox.com/s/v0h9oywa4pdjblu/Lynxpelt.csv),这里有来自R和Stata的两个AIC值表,用于ARIMA(p,q)模型,0 <= p < = 5且0 <= q <= 5.注意,对于(p,q)=(0,1),(0,2),(0,3),(1,0),(1,1),(1,2),(2,0) ,(2,1),(2,2),(2,3),(3,0),(3,1),(3,2),(4,0)和(4,1)的值与七位有效数字相同.然而,剩下的情况大不相同 - 只看(4,2)!当AIC不匹配时,系数估计也非常不同.这是ARIMA核心功能中的错误,还是正在发生的事情？
AIC calculations from R for ARIMA(p,q)
q0 q1 q2 q3 q4
p0 145.25613 100.20123 87.45927 77.57073 85.86376
p1 101.54847 84.91691 82.11806 77.15318 74.26392
p2 63.41165 49.42414 44.14899 40.96787 44.33848
p3 52.26069 49.19660 52.00560 43.50156 45.17175
p4 46.19617 48.19530 49.50422 42.43198 45.71375
R参数估计:http://pastie.org/8942238
AIC ( Stata ) FOR LOG MODELS
q
p 0 1 2 3 4
0 100.2012 87.45929 77.57074 83.86378 …我正在使用 Python 3.4.3 | OS X 10.10.5 上的 Anaconda 2.3.0 (x86_64) 并按照这些说明安装 MATLAB Engine for Python。安装似乎成功了，但是在启动 python 并尝试导入时，我看到以下内容：
Python 3.4.3 |Anaconda 2.3.0 (x86_64)| (default, Oct 20 2015, 14:27:51)
[GCC 4.2.1 (Apple Inc. build 5577)] on darwin
Type "help", "copyright", "credits" or "license" for more information.
>>> import matlab.engine
Traceback (most recent call last):
File "/Users/tyler/.local/lib/python3.4/site-packages/matlab/engine/__init__.py", line 42, in <module>
pythonengine = importlib.import_module("matlabengineforpython"+_PYTHONVERSION)
File "/Users/tyler/anaconda/lib/python3.4/importlib/__init__.py", line 109, in import_module
return _bootstrap._gcd_import(name[level:], package, level)
File "<frozen importlib._bootstrap>", line 2254, in …