sie.auto.pacf: Generate Partial Autocorrelation Function (PACF)...

In Sie2nts: Sieve Methods for Non-Stationary Time Series

Generate Partial Autocorrelation Function (PACF) Automatically

Description

sie.auto.pacf() generates the PACF from 1 to lag automatically.

Usage

sie.auto.pacf(ts, c, lag, type, or = 4, m = 500)

Arguments

ts	ts is the data set which is a time series data typically
c	c indicates the number of basis used to estimate (For wavelet, the number of basis is 2^c.If Cspli is chosen, the real number of basis is c-2+or)
lag	lag b is the lag for auto-regressive model
type	type indicates which type of basis is used (There are 31 types in this package)
or	indicates the order of spline and only used in Cspli type, default is 4 which indicates cubic spline
m	m indicates the number of points of coefficients to estimate

Value

A list contains the PACF in each lag

Examples

set.seed(137)
time.series = c()
n = 1024
v = 25
w = rnorm(n, 0, 1) / v
x_ini = runif(1,0,1)
for(i in 1:n){
  if(i == 1){
    time.series[i] = 0.2 + 0.6*cos(2*pi*(i/n))*x_ini  + w[i] #
  } else{
    time.series[i] = 0.2 + 0.6*cos(2*pi*(i/n))*time.series[i-1] + w[i]
  }
}
sie.auto.pacf(time.series, 5, 1, "Legen")

Sie2nts documentation built on Jan. 22, 2023, 1:52 a.m.