ts.acf: Extract the ACF and PACF parameters of time series and their...

In okgreece/TimeSeries.OBeu: Time Series Analysis 'OpenBudgets.eu'

Description

This function is included in ts.analysis function and aims to extract the ACF and PACF details of the input time series data and the ACF, PACF of the residuals after fitting an Arima model.

Usage

ts.acf(tsdata, model_residuals, a = 0.95, tojson = FALSE)

Arguments

tsdata	The input univariate time series data
model_residuals	The model's residuals after fitting a model to the time series
a	The significant level (default a=0.95)
tojson	If TRUE the results are returned in json format, default returns a list

Details

This function is used internally in ts.analysis function and the output is a list with grouped ACF and PACF parameters of the input time series data, as well as the ACF and PACF parameters of the residuals needed for the graphical purposes in OBEU.

Value

A list with the parameters:

• acf.parameters:

  • acf The estimated acf values of the input time series

  • acf.lag The lags at which the acf is estimated

  • confidence.interval.up The upper limit of the confidence interval

  • confidence.interval.low The lower limit of the confidence interval

• pacf.parameters:

  • pacf The estimated pacf values of the input time series

  • pacf.lag The lags at which the pacf is estimated

  • confidence.interval.up The upper limit of the confidence interval

  • confidence.interval.low The lower limit of the confidence interval

• acf.residuals.parameters:

  • acf.res The estimated acf values of the model residuals

  • acf.res.lag The lags at which the acf is estimated of the model residuals

  • confidence.interval.up The upper limit of the confidence interval

  • confidence.interval.low The lower limit of the confidence interval

• pacf.residuals.parameters:

  • pacf.res The estimated pacf values of the model residuals

  • pacf.res.lag The lags at which the pacf is estimated of the model residuals

  • confidence.interval.up The upper limit of the confidence interval

  • confidence.interval.low The lower limit of the confidence interval

Author(s)

Kleanthis Koupidis

See Also

ts.analysis, Acf, Pacf

Examples

ts.acf(Athens_draft_ts)

okgreece/TimeSeries.OBeu documentation built on Sept. 7, 2021, 7:21 p.m.