perpacf {perARMA} | R Documentation |
Periodic PACF function
Description
The function perpacf
, given an input time series, a specified period T
and a lag p
, computes
the periodic sample correlation coefficients and returns their values as a matrix
ppa
of size .
The ppfcoeffab
procedure transforms the output of perpacf
into Fourier form, i.e. into Fourier coeficients,
so we can represent by its Fourier coefficients.
Function ppfplot
plots perpacf coefficients returned by perpacf
as function of n
for each specified lag .
Usage
perpacf(x, T_t, p, missval)
ppfcoeffab(ppf, nsamp, printflg, datastr)
ppfplot(ppf, nsamp, alpha, datastr)
Arguments
x |
input time series. |
T_t |
period of PC-T structure. |
p |
maximum lag used in computation. |
missval |
notation for missing values. |
ppf |
matrix of periodic PACF values (of size |
nsamp |
number of samples (periods) used to compute |
printflg |
parameter should be positive to return messages. |
alpha |
parameter for thresolds are displayed along with the Bonferroni corrected thresholds. |
datastr |
string name of data for printing. |
Details
Procedure perpacf
returns ppa
matrix, where for
each separation n=0,1,...,p
, ppa[,n]
is the value
of for
t=1,2,...,T
. Further, since T
is assumed to be the period of the underlying PC process,
is periodic in
t
with period T
. So we can represent by its Fourier coefficients.
Further, if the variation in time of
is really smooth over the period, then looking at
these Fourier coefficients (the output of
ppfcoeffab
) may be a more sensitive detector of linear dependence
of on the preceding
n
samples
(think of n
as fixed here) than looking at for individual times.
The
ppfcoeffab
procedure also needs the sample size nsamp
used by perpacf
in computing the
in order to compute p-values for the
pkab
coefficients. The
p-values are computed assuming that for each t
, is
N(0,1/sqrt(nsamp))
under the null.
The procedure ppfcoeffab
is called in parma_ident
.
Function ppfplot
plots values of and computes p-values for testing
if
for all
t = 1, ..., T
and fix (p-values in column labelled
) and
if
for all
t = 1, ..., T
and (p-values in column labelled
).
perpacf is plotted as function of n for each specified lag
.
Value
The function perpacf
returns two matrixes:
ppa |
matrix of size |
nsamp |
matrix of size |
The function ppfcoeffab
returns table of values:
pihat_k |
Fourier coefficients |
pv |
Bonferroni corrected p-values. |
The function ppfplot
returns plot of coefficients and table of p-vaules for provided
tests. Note that there are two plots; the first plot presents values of
for all considered
and
, whereas
the second plot presents separate charts for particular
values.
Author(s)
Harry Hurd
References
Hurd, H. L., Miamee, A. G., (2007), Periodically Correlated Random Sequences: Spectral Theory and Practice, Wiley InterScience.
See Also
Examples
data(volumes)
perpacf_out<-perpacf(t(volumes),24,12,NaN)
ppa=perpacf_out$ppa
nsamp=perpacf_out$nsamp
ppfcoeffab(ppa,nsamp,1,'volumes')
ppfplot(ppa,41,.05,'volumes')