Genstat provides several methods for examining and analysing time series. Sample correlation functions are produced by the directive CORRELATE:
CORRELATE |
forms correlations between variates, autocorrelations of variates, and lagged cross-correlations between variates |
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The analysis of Box-Jenkins models is specified by several directives:
FTSM |
forms preliminary estimates of parameters in time-series models |
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TRANSFERFUNCTION |
specifies input series and transfer-function models for subsequent estimation of a model for an output series |
TFIT |
estimates parameters in Box-Jenkins models for time series (renamed version of ESTIMATE, which is retained as a synonym) |
Information can be saved in Genstat data structures, or further output can be produced:
TDISPLAY |
displays further output after an analysis by TFIT |
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TKEEP |
saves results after an analysis by TFIT |
TFORECAST |
forecasts future values of a time series (renamed version of FORECAST, which is retained as a synonym) |
TSUMMARIZE |
displays characteristics of a time series model |
It is also possible to filter a time series, or perform spectral analysis via the Fourier transform of a time series using the directives:
TFILTER |
filters time series by time-series models (renamed version of FILTER, which is retained as a synonym) |
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FOURIER |
calculates cosine or Fourier transforms of a real or complex series |
Relevant procedures in the Library include:
BJESTIMATE |
fits an ARIMA model, with forecasts and residual checks |
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BJFORECAST |
plots forecasts of a time series using a previously fitted ARIMA |
BJIDENTIFY |
displays time series statistics useful for ARIMA model selection |
DFOURIER |
performs a harmonic analysis of a univariate time series |
KALMAN |
calculates estimates from the Kalman filter |
DKALMAN |
plots results from an analysis by KALMAN |
MCROSSPECTRUM |
performs a spectral analysis of a multiple time series |
MC1PSTATIONARY |
gives the stationary probabilities for a 1st-order Markov chain |
MOVINGAVERAGE |
calculates and plots the moving average of a time series |
PERIODTEST |
gives periodogram-based tests for white noise in time series |
PREWHITEN |
filters a time series before spectral analysis |
REPPERIODOGRAM |
gives periodogram-based analyses for replicated time series |
SMOOTHSPECTRUM |
forms smoothed spectrum estimates for univariate time series |
TVARMA |
fits a vector autoregressive moving average (VARMA) model |
TVFORECAST |
forecasts future values from a vector autoregressive moving average (VARMA) model |
TVGRAPH |
plots a vector autoregressive moving average (VARMA) model |