ARIMA comparison Seasonal VS Non-Seasonal

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Ioannis Papayiannis
评论： Hamed Majidiyan 2022-3-15
Hello everyone,
I tried to compare some models I built for a certain time series. I have 2 non-seasonal arima models, ARMA(1,1) & ARMA(1,0) and 2 seasonal ARIMA models, ARMA(1,1)x(1,0)[48] & ARMA(1,0)x(1,0)[48].
I used aicbic function to obtain the values of these criteria and although the seasonal models perform better from the non-seasonals, the values of AIC and BIC are smaller for the non-seasonal which make no-sense.
So, my question is --> Can I compare seasonal with non-seasonal models by using AIC and BIC or not?
Thank you!
  1 个评论
Hamed Majidiyan
Hamed Majidiyan 2022-3-15
Hi Ioannis,
Could you share the code BIC function which you have used for your simulation?
Regards

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