Table 3. Benchmarking of p and q lag orders, implementation time, and the value of GOF statistic for the full-search and the proposed algorithm for Trial 3.
Algorithm | Statistic | p | q | Time (sec) |
Value | ||
---|---|---|---|---|---|---|---|
X1 | X2 | X3 | |||||
Full Search | AIC | 4 | 1 | 5 | 4 | 26.52 | -729.78 |
BIC | 4 | 1 | 1 | 4 | 27.39 | -671.25 | |
MASE | 4 | 4 | 5 | 4 | 27.05 | 0.118 | |
GMRAE | 2 | 1 | 5 | 4 | 26.64 | 0.077 | |
Proposed | AIC | 4 | 1 | 4 | 4 | 3.68 | -729.26 |
BIC | 4 | 1 | 1 | 4 | 6.35 | -671.25 | |
MASE | 4 | 4 | 5 | 5 | 6.48 | 0.119 | |
GMRAE | 3 | 3 | 1 | 4 | 2.39 | 0.079 |