Displays time series statistics useful for ARIMA model selection (G. Tunnicliffe Wilson & S.J. Welham).
|Controls printed output (
||What type of graphics to use (
||Windows to be used for the plots: a scalar
||The three pens to be used (after being defined appropriately) for drawing the plots; default
||Variates holding the time series for which the statistics are to be produced|
||Specifies the units to be used from each series: a scalar
BJIDENTIFY displays time series statistics useful for ARIMA model selection. For a time series, specified (in a variate) using the
SERIES parameter, four graphs are produced. These are of the series itself, its sample autocorrelation function and partial autocorrelation function, and its sample spectrum (or periodogram). The
LENGTH parameter can specify that only part of the series is to be used: setting
LENGTH to a scalar
N indicates that the first
N values are to be used; alternatively, a variate of length 2 can be specified holding the positions of the first and last units of the subseries. The maximum lag of the autocorrelations and the frequency grid for the periodogram are determined automatically by the procedure.
Printed output can be suppressed by setting the option
PRINT=*; by default,
PRINT=description, which gives a description of the series.
Graphical output is controlled by the options
GRAPHICS controls whether plots are produced for line-printer output or on the current high-resolution graphics device; by default high-resolution plots are given. Option
WINDOWS controls the way in which the high-resolution plots are arranged. If
WINDOWS is set to a scalar
N, all the graphs are produced in window
N on separate pages; the
FRAME directive can then be used to set the attributes of window
N before calling the procedure. Alternatively,
WINDOWS can be set to a variate of length four; the attributes of the four windows specified are then redefined within the procedure so that four graphs are produced on the same page. By default
PENS option controls which pens are to be used for the plots; the attributes of these pens are modified within the procedure. By default pens 1-3 are used, but these can be changed by setting option
PENS to a variate of length 3 containing the numbers of the three different pens required.
The autocorrelation and partial autocorrelation functions are calculated using the
CORRELATE directive. The maximum lag is chosen to be half the length of the series, but adjusted for very short or very long series. The number of periodogram ordinates is chosen to be approximately four times the length of the series. Before calculation of the periodogram, using the
FOURIER directive, the series is mean corrected and missing values are replaced by zero.
Input structures must not be restricted. Restriction of the input
SERIES to a contiguous set of units can be achieved using the
Commands for: Time series.
CAPTION 'BJIDENTIFY example',!t(\ 'Data from Andrews & Herzberg (1985), Data, A Collection',\ 'of Problems from Many Fields for the Student and Research',\ 'Worker, Springer-Verlag, pp. 369-370.'); STYLE=meta,plain VARIATE [VALUES=8.075,7.819,7.366,8.113,7.380,7.134,7.222,7.768,\ 7.386,6.965,6.478,8.105,8.060,7.684,7.580,7.093,\ 6.129,6.026,6.679,7.414,7.112,7.762,7.645,8.639,\ 7.667,8.080,6.678,6.739,5.569,5.049,5.642,6.808,\ 6.636,8.241,7.968,8.044,7.791,7.024,6.102,6.053,\ 5.941,5.386,5.811,6.716,6.923,6.939,6.705,6.914] Profit CALCULATE QdProfit = DIFFERENCE(Profit;4) PRINT Profit,QdProfit; DECIMALS=3 " Use BJIDENTIFY on complete series Profit and its 4th differences QdProfit." VARIATE [VALUES=1...4] Windows BJIDENTIFY [WINDOWS=Windows] Profit,QdProfit " Now look only at units 10-40 of the series Profit." BJIDENTIFY [WINDOWS=Windows] Profit; LENGTH=!(10,40)