ltsa-package: Linear Time Series Analysis

ltsa-packageR Documentation

Linear Time Series Analysis

Description

Linear time series modelling. Methods are given for loglikelihood computation, forecasting and simulation.

Details

Package: ltsa
Type: Package
Version: 1.4.5
Date: 2015-08-22
License: GPL (>= 2)
FUNCTION SUMMARY
DHSimulate Davies and Harte algorithm for time series simulation
DLAcfToAR from Acf to AR using Durbin-Levinson recursion
DLLoglikelihood exact loglikelihood using Durbin-Levinson algorithm
DLResiduals exact one-step residuals, Durbin-Levision algorithm
DLSimulate exact simulation of Gaussian time series using DL
is.toeplitz test for Toeplitz matrix
PredictionVariance two methods provided
tacvfARMA theoretical autocovariances
ToeplitzInverseUpdate update inverse
TrenchForecast general algorithm for forecasting
TrenchInverse efficient algorithm for inverse of Toeplitz matrix
TrenchLogLikelihood exact loglikelihood
TrenchMean exact MLE for mean

Author(s)

A. I. McLeod, Hao Yu and Zinovi Krougly.

Maintainer: aimcleod@uwo.ca

References

Hipel, K.W. and McLeod, A.I., (2005). Time Series Modelling of Water Resources and Environmental Systems. Electronic reprint of our book orginally published in 1994. http://www.stats.uwo.ca/faculty/aim/1994Book/.

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

See Also

DHSimulate, DLAcfToAR, DLLoglikelihood, DLResiduals, DLSimulate, exactLoglikelihood, is.toeplitz, PredictionVariance, tacvfARMA, ToeplitzInverseUpdate, TrenchForecast, TrenchInverse, TrenchLoglikelihood, TrenchMean,

Examples


#Example 1: DHSimulate
#First define acf for fractionally-differenced white noise and then simulate using DHSimulate
`tacvfFdwn` <-
function(d, maxlag)
{
    x <- numeric(maxlag + 1)
    x[1] <- gamma(1 - 2 * d)/gamma(1 - d)^2
    for(i in 1:maxlag) 
        x[i + 1] <- ((i - 1 + d)/(i - d)) * x[i]
    x
}
n<-1000
rZ<-tacvfFdwn(0.25, n-1) #length 1000
Z<-DHSimulate(n, rZ)
acf(Z)

#Example 2: DLAcfToAR
#
n<-10
d<-0.4
r<-tacvfFdwn(d, n)
r<-(r/r[1])[-1]
HoskingPacf<-d/(-d+(1:n))
cbind(DLAcfToAR(r),HoskingPacf)

#Example 3: DLLoglikelihood
#Using Z and rZ in Example 1.
DLLoglikelihood(rZ, Z)

#Example 4: DLResiduals
#Using Z and rZ in Example 1.
DLResiduals(rZ, Z)

#Example 5: DLSimulate
#Using Z in Example 1.
z<-DLSimulate(n, rZ)
plot.ts(z)

#Example 6: is.toeplitz
is.toeplitz(toeplitz(1:5))

#Example 7: PredictionVariance
#Compare with predict.Arima
#general script, just change z, p, q, ML
z<-sqrt(sunspot.year)
n<-length(z)
p<-9
q<-0
ML<-10
#for different data/model just reset above
out<-arima(z, order=c(p,0,q))
sda<-as.vector(predict(out, n.ahead=ML)$se)
#
phi<-theta<-numeric(0)
if (p>0) phi<-coef(out)[1:p]
if (q>0) theta<-coef(out)[(p+1):(p+q)]
zm<-coef(out)[p+q+1]
sigma2<-out$sigma2
r<-sigma2*tacvfARMA(phi, theta, maxLag=n+ML-1)
sdb<-sqrt(PredictionVariance(r, maxLead=ML))
cbind(sda,sdb)

#Example 8: tacfARMA
#There are two methods: tacvfARMA and ARMAacf.
#tacvfARMA is more general since it computes the autocovariances function
# given the ARMA parameters and the innovation variance whereas ARMAacf
# only computes the autocorrelations. Sometimes tacvfARMA is more suitable
# for what is needed and provides a better result than ARMAacf as in the
# the following example.
#
#general script, just change z, p, q, ML
z<-sqrt(sunspot.year)
n<-length(z)
p<-9
q<-0
ML<-5
#for different data/model just reset above
out<-arima(z, order=c(p,0,q))
phi<-theta<-numeric(0)
if (p>0) phi<-coef(out)[1:p]
if (q>0) theta<-coef(out)[(p+1):(p+q)]
zm<-coef(out)[p+q+1]
sigma2<-out$sigma2
rA<-tacvfARMA(phi, theta, maxLag=n+ML-1, sigma2=sigma2)
rB<-var(z)*ARMAacf(ar=phi, ma=theta, lag.max=n+ML-1)
#rA and rB are slighly different
cbind(rA[1:5],rB[1:5])


#Example 9: ToeplitzInverseUpdate
#In this example we compute the update inverse directly and using ToeplitzInverseUpdate and
#compare the result.
phi<-0.8
sde<-30
n<-30
r<-arima.sim(n=30,list(ar=phi),sd=sde)
r<-phi^(0:(n-1))/(1-phi^2)*sde^2
n1<-25
G<-toeplitz(r[1:n1])
GI<-solve(G) #could also use TrenchInverse
GIupdate<-ToeplitzInverseUpdate(GI,r[1:n1],r[n1+1])
GIdirect<-solve(toeplitz(r[1:(n1+1)]))
ERR<-sum(abs(GIupdate-GIdirect))
ERR


#Example 10: TrenchForecast
#Compare TrenchForecast and predict.Arima
#general script, just change z, p, q, ML
z<-sqrt(sunspot.year)
n<-length(z)
p<-9
q<-0
ML<-10
#for different data/model just reset above
out<-arima(z, order=c(p,0,q))
Fp<-predict(out, n.ahead=ML)
phi<-theta<-numeric(0)
if (p>0) phi<-coef(out)[1:p]
if (q>0) theta<-coef(out)[(p+1):(p+q)]
zm<-coef(out)[p+q+1]
sigma2<-out$sigma2
#r<-var(z)*ARMAacf(ar=phi, ma=theta, lag.max=n+ML-1)
#When r is computed as above, it is not identical to below
r<-sigma2*tacvfARMA(phi, theta, maxLag=n+ML-1)
F<-TrenchForecast(z, r, zm, n, maxLead=ML)
#the forecasts are identical using tacvfARMA
#  


#Example 11: TrenchInverse
#invert a matrix of order n and compute the maximum absolute error
# in the product of this inverse with the original matrix
n<-5	   
r<-0.8^(0:(n-1))
G<-toeplitz(r)
Gi<-TrenchInverse(G)
GGi<-crossprod(t(G),Gi)
id<-matrix(0, nrow=n, ncol=n)
diag(id)<-1
err<-max(abs(id-GGi))
err


#Example 12: TrenchLoglikelihood
#simulate a time series and compute the concentrated loglikelihood using DLLoglikelihood and
#compare this with the value given by TrenchLoglikelihood.
phi<-0.8
n<-200
r<-phi^(0:(n-1))
z<-arima.sim(model=list(ar=phi), n=n)
LD<-DLLoglikelihood(r,z)
LT<-TrenchLoglikelihood(r,z)
ans<-c(LD,LT)
names(ans)<-c("DLLoglikelihood","TrenchLoglikelihood")

#Example 13: TrenchMean
phi<- -0.9
a<-rnorm(100)
z<-numeric(length(a))
phi<- -0.9
n<-100
a<-rnorm(n)
z<-numeric(n)
mu<-100
sig<-10
z[1]<-a[1]*sig/sqrt(1-phi^2)
for (i in 2:n)
	z[i]<-phi*z[i-1]+a[i]*sig
z<-z+mu
r<-phi^(0:(n-1))
meanMLE<-TrenchMean(r,z)
meanBLUE<-mean(z)
ans<-c(meanMLE, meanBLUE)
names(ans)<-c("BLUE", "MLE")
ans



ltsa documentation built on Sept. 18, 2024, 5:07 p.m.