R/eacf.R

In TSA: Time Series Analysis

#' @export 
eacf <-
function (z,ar.max=7,ma.max=13) 
{
#
#  PROGRAMMED BY K.S. CHAN, DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE,
#  UNIVERSITY OF IOWA.
#
#  DATE: 4/2001
#  Compute the extended sample acf (ESACF) for the time series stored in z.
#  The matrix of ESACF with the AR order up to ar.max and the MA order
#  up to ma.max is stored in the matrix EACFM.
#  The default values for NAR and NMA are 7 and 13 respectively.
#  Side effect of the eacf function:
#  The function prints a coded ESACF table with
#  significant values denoted by * and nosignificant values by 0, significance
#  level being 5%.
#
#  Output:
#	eacf=matrix of esacf
#	symbol=matrix of coded esacf
#

lag1<-function(z,lag=1){c(rep(NA,lag),z[1:(length(z)-lag)])}
reupm<-function(m1,nrow,ncol){
k<-ncol-1
m2<-NULL
for (i in 1:k){
i1<-i+1
work<-lag1(m1[,i])
work[1]<--1
temp<-m1[,i1]-work*m1[i1,i1]/m1[i,i]
temp[i1]<-0
m2<-cbind(m2,temp)
}
m2}
ceascf<-function(m,cov1,nar,ncol,count,ncov,z,zm){
result<-0*seq(1,nar+1)
result[1]<-cov1[ncov+count]
for (i in 1:nar) {
temp<-cbind(z[-(1:i)],zm[-(1:i),1:i])%*%c(1,-m[1:i,i])
result[i+1]<-acf(temp,plot=FALSE,lag.max=count,drop.lag.0=FALSE)$acf[count+1]
}
result
}

ar.max<-ar.max+1
ma.max<-ma.max+1
nar<-ar.max-1
nma<-ma.max
ncov<-nar+nma+2
nrow<-nar+nma+1
ncol<-nrow-1
z<-z-mean(z)
zm<-NULL
for(i in 1:nar) zm<-cbind(zm,lag1(z,lag=i))
cov1<-acf(z,lag.max=ncov,plot=FALSE,drop.lag.0=FALSE)$acf
cov1<-c(rev(cov1[-1]),cov1)
ncov<-ncov+1
m1<-matrix(0,ncol=ncol,nrow=nrow)
for(i in 1:ncol) m1[1:i,i]<-
ar.ols(z,order.max=i,aic=FALSE,demean=FALSE,intercept=FALSE)$ar
eacfm<-NULL
for (i in 1:nma) {
m2<-reupm(m1=m1,nrow=nrow,ncol=ncol)
ncol<-ncol-1
eacfm<-cbind(eacfm, ceascf(m2,cov1,nar,ncol,i,ncov,z,zm))
m1<-m2}
work<-1:(nar+1)
work<-length(z)-work+1
symbol<-NULL
for ( i in 1:nma) {
work<-work-1
symbol<-cbind(symbol,ifelse(abs(eacfm[,i])>2/work^.5, 'x','o'))}
rownames(symbol)<-0:(ar.max-1)
colnames(symbol)<-0:(ma.max-1)
cat('AR/MA\n')
print(symbol,quote=FALSE)
invisible(list(eacf=eacfm,ar.max=ar.max,ma.ma=ma.max,symbol=symbol))
}