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I found auto.arima() function in forecast packages. As far I have understand how it works, It should find the best model for the data, my question is: Is it possible to understand if the variance is not constant during all the period(timeseries) using that function? I mean... If it fit a model it should means that the variance is homoscedastics because i set stationary=TRUE

Let me know, thank you!

Dail
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1 Answers1

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?auto.arima

Returns best ARIMA model according to either AIC, AICc or BIC value. The function conducts a search over possible model within the order constraints provided.

This means it tries all the possible parameters (within the constraints provided) and returns the model with the lowest AIC, AICc or BIC.

For more information, you can read the article referenced in ?auto.arima.

Zach
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