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use start_params in arma_order_select_ic #2198

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josef-pkt opened this issue Jan 21, 2015 · 0 comments
Open

use start_params in arma_order_select_ic #2198

josef-pkt opened this issue Jan 21, 2015 · 0 comments

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@josef-pkt
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if max_ar or max_ma are large, then there might be problems in the optimization.
There might also be other problems, for example
http://stackoverflow.com/questions/28056601/the-computed-initial-ar-coefficients-are-not-stationary

(I never run examples for this)

One reasonably simple improvement that could work quite well
arma_order_select_ic checks models of increasing order but it doesn't use the parameters from the smaller model as start_params for the larger model.

one possible implementation
cache the parameters in a dictionary with keys (k_ar, k_ma) and use the first of the following that is available

  1. (k_ar, k_ma - 1)

  2. (k_ar - 1, 0)

  3. (0, k_ma - 1)

  4. handles pure AR models and the initial order selection path of an ARMA model

  5. handles pure MA models.

This should both be more robust and faster, more robust if the initial model AR(1) (or AR(0)?) is easy too estimate without stationarity problems.

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