model - Use of the auto.arima function with external regressors -


i new r , i´ve been having trouble following:

i want possible combinations (up 3 independent variables in example) arimax model.

suppose have thefollowing sample data:

library(forecast)  airpassengers_1<-ts(airpassengers, start = c(1949,1), frequency =  12, end =c(1960,12)) nottem_1<-ts(nottem, start = c(1949,1), frequency =  12, end =  c(1960,12)) sunspots_1<-ts(sunspots, start = c(1949,1), frequency =  12, end =  c(1960,12)) sunspot.month_1<-ts(sunspot.month, start = c(1949,1), frequency =  12, end =  c(1960,12))  base<-cbind(airpassengers_1,nottem_1,sunspots_1,sunspot.month_1)

i going use airpassengers_1 variable dependent variable , others independent variables.

next create matrix possible combinations of explanatory variables going included in auto.arima formula (forecast package).

cant_variables<-dim(base)[2]-1 cant_regresores<-3  x=c(1:cant_variables)  if(cant_regresores==1){   v<-t(combn(x, 1))   v<-cbind(v,matrix(0,nrow(v),2))   h<-v     c<-as.data.frame(t(x))   a<-as.data.frame(c[rep(seq_len(nrow(c)), each=nrow(h)),])   matriz_true_false<-t(mapply("%in%",data.frame(t(a)),data.frame(t(h)))) } else if(cant_regresores==2){   v<-t(combn(x, 1))   v<-cbind(v,matrix(0,nrow(v),2))   y<-t(combn(x, 2))   y<-cbind(y,matrix(0,nrow(y),1))   h<-rbind(v,y)     c<-as.data.frame(t(x))   a<-as.data.frame(c[rep(seq_len(nrow(c)), each=nrow(h)),])   matriz_true_false<-t(mapply("%in%",data.frame(t(a)),data.frame(t(h)))) } else if(cant_regresores==3){   v<-t(combn(x, 1))   v<-cbind(v,matrix(0,nrow(v),2))   y<-t(combn(x, 2))   y<-cbind(y,matrix(0,nrow(y),1))   z<-t(combn(x, 3))    h<-rbind(v,y,z)     c<-as.data.frame(t(x))   a<-as.data.frame(c[rep(seq_len(nrow(c)), each=nrow(h)),])   matriz_true_false<-t(mapply("%in%",data.frame(t(a)),data.frame(t(h)))) }  matriz_true_false<-as.data.frame(matriz_true_false)

(maybe true-false matrix not necessary code , might have better idea make work.)

since 'xreg' field autoarima takes vectors or matrix data input, apply somehow previous 'matriz_true_false' in order have possible combinations arimax . example first combination using nottem_1 variable follows:

 autoarima_1<-auto.arima(base[,1], xreg = base[,2])

the next 1 using sunspots_1

autoarima_2<-auto.arima(base[,1], xreg = base[,3])

and on. recursively last combination is

autoarima_7<-auto.arima(base[,1], xreg = base[,2:4])

which has possible combinations of variables.additionally have these models grouped in 1 list.

thank in advance can provide!


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