I am using library robustarima, which has an option auto.ar=TRUE. According to the description and the book (https://onlinelibrary-wiley-com.eur.idm.oclc.org/doi/pdf/10.1002/9781119214656 chapter 8 page 322) this function should return the appropriate lag, but when I am using it it always returns the maximum value max.p (which is also an option). The book has sample code, which I tried to run as well, but this also gives me the output. Does someone know if I am doing something wrong?
I am using library robustarima, which has an option auto.ar=TRUE. According to the description and the book (https://onlinelibrary-wiley-com.eur.idm.oclc.org/doi/pdf/10.1002/9781119214656 chapter 8 page 322) this function should return the appropriate lag, but when I am using it it always returns the maximum value max.p (which is also an option). The book has sample code, which I tried to run as well, but this also gives me the output. Does someone know if I am doing something wrong? Example:
library(robustarima)
set.seed(600)
n.innov = 300
n = 200
theta= 0.8
n.start = n.innov - n
innov = rnorm(n.innov)
x= arima.sim(model = list(ma = theta), n, innov = innov, n.start = n.start)
ao = ifelse(runif(n)>.1, 0, rnorm(n,6,1))
ao = sign(runif(n,-1,1))*ao
y = x + ao
no=sum(ao!=0)
par(mfrow=c(2,1))
plot(x, ylab=expression(x[t]),ylim=c(-9,9))
plot(y, ylab=expression(y[t]),ylim=c(-9,9))
ao.times = (1:n)[ao != 0]
points(ao.times, y[ao != 0])
par(mfrow=c(1,1))
out=arima.rob(y~1, auto.ar=TRUE)
summary(out)
Which returns
Call:
arima.rob(formula = y ~ 1, auto.ar = TRUE)
Regression model:
y ~ 1
ARIMA model:
Ordinary differences: 0 ; AR order: 5 ; MA order: 0
Regression Coefficients:
Value Std. Error t value Pr(>|t|)
(Intercept) -0.0277 0.1291 -0.2143 0.8305
AR Coefficients:
Value Std. Error t value Pr(>|t|)
AR(1) 0.5822 0.0730 7.9749 0.0000
AR(2) -0.3314 0.0829 -3.9994 0.0001
AR(3) 0.2893 0.0837 3.4559 0.0007
AR(4) -0.2292 0.0829 -2.7659 0.0062
AR(5) 0.0792 0.0730 1.0846 0.2795
Degrees of freedom: 200 total; 194 residual
While an AR(2) lag should be returned. Is this me or is there something wrong with the code? Thanks
