Tuesday, 13 August 2013

ARIMA model time complexity

ARIMA model time complexity

I want to know the computational complexity for building Seasonal ARIMA
model for 'n' points. I am using forecast package in R. I am using the
following code to build a model and it gives me the result in few minutes
for my data set (almost 500 points)
Arima(data_to_fit, order=c(4,0,4), seasonal=list(order=c(0,1,1), period=24))
I wanted to know if I can generalize the time complexity (e.g. O(nlog(n))
for sorting) etc. for given no. of points and model parameters. Can
someone please point to the algorithm that R uses and its time complexity?
I further want to compare the time complexity of Seasonal ARIMA with
Gaussian processes for forecasting.

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