Today's Time Series Analysis and Forecasting in JMP15 MaterialsComments and questions are welcome!
Re: Today's Time Series Analysis and Forecasting in JMP15 MaterialsI was asked about comparing the state space smoothing models to ARIMA models based on AIC. They are calculated differently, so AIC cannot be used for model comparison across platforms.
Rob Hyndman has written extensively on the state space smoothing models. Here is why from him https://stats.stackexchange.com/questions/59135/can-you-compare-aic-values-as-long-as-the-models-are-based-on-the-same-dataset
