How to evaluate timeseries models using AIC?

How to evaluate timeseries models using AIC?

How to evaluate timeseries models using AIC?

This recipe helps you evaluate timeseries models using AIC


Recipe Objective

The Akaike Information Critera (AIC) is a widely used measure of a statistical model. It basically quantifies the goodness of fit and the simplicity/parsimony, of the model into a single statistic. When comparing two models, the one with the lower AIC is generally 'better'.

So this recipe is a short example on how to evaluate time series models using AIC. Let's get started.

Step 1 - Import the library

import numpy as np import pandas as pd from statsmodels.tsa.arima_model import ARIMA

Let's pause and look at these imports. Numpy and pandas are general ones. Here matplotlib.pyplot will help us in plotting. statsmodels.tsa.arima_model will help us in model building.

Step 2 - Setup the Data

df = pd.read_csv('', parse_dates=['date'])

Here, we have used one time series data from github. Also, we have set our index to date.

Now our dataset is ready.

Step 3 - Calculating AIC

for i in range(0,2): for j in range(0,2): for k in range(0,2): model = ARIMA(df.value, order=(i, j, k)).fit() print(model.aic)

Best AIC can easily be calcuated through libraries. Here we have tried to understand what actually is happening inside. With variation of values of orders, AIC can be seen varying.

Step 4 - Lets look at our dataset now

Once we run the above code snippet, we will see:


Clearly, order (1,1,1) is best fitted solution to our model. It can be extended further to 2 degrees to have a better understanding of results.

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