plot-methods: Plot methods in package sarima

In sarima: Simulation and Prediction with Seasonal ARIMA Models

Plot methods in package sarima

Description

Plot methods in package sarima.

Methods

signature(x = "SampleAutocorrelations", y = "matrix")

signature(x = "SampleAutocorrelations", y = "missing")

plots the sample autocorrelations with (individual) rejection limits computed under the null hypothesis of i.i.d. (strong white noise) If argument data is provided, it should be the time series from which the autocorrelations were computed. In this case rejection limits for null hypothesis that the time series is (garch) weak white noise are provided, as well.

Additional arguments can be supplied, see whiteNoiseTest the examples, and the vignettes.

signature(x = "SamplePartialAutocorrelations", y = "missing")

plots the sample partial autocorrelations with rejection limits for the hypotheses and controlling arguments as for "SampleAutocorrelations".

Author(s)

Georgi N. Boshnakov

See Also

whiteNoiseTest for the computations for the rejection levels;

Examples

set.seed(1234)
n <- 5000
x <- sarima:::rgarch1p1(n, alpha = 0.3, beta = 0.55, omega = 1, n.skip = 100)
x.acf <- autocorrelations(x)
x.acf
x.pacf <- partialAutocorrelations(x)
x.pacf

plot(x.acf)
## add limits for a weak white noise test:
plot(x.acf, data = x)

## similarly for pacf
plot(x.pacf)
plot(x.pacf, data = x)

plot(x.acf, data = x, main = "Autocorrelation test")
plot(x.pacf, data = x, main = "Partial autocorrelation test")

plot(x.acf, ylim = c(NA,1))
plot(x.acf, ylim.fac = 1.5)
plot(x.acf, data = x, ylim.fac = 1.5)
plot(x.acf, data = x, ylim = c(NA, 1))

sarima documentation built on Aug. 11, 2022, 5:11 p.m.