Displaying 20 results from an estimated 4000 matches similar to: "FW: time series and ACF"
2009 Sep 29
0
time series and ACF
Hey guys,
im sort of a beginner with R, but here's what i need to do.
i need to perform a time series analysis on a set of financial data that i've been given. im trying to look at the ACF and PACF and fit it to a particular model (i think its the ARIMA model because i've read that financial data resembles the random walk, where the ARIMA model fits). is this correct?
if my data is
2004 Aug 09
1
Easy acf and pacf for irregular time series in R
R:
Is there an easy way to get the acf and pacf for an irregular times
series? That is, the acf and pacf with lag lengths that are in units of
time, not observation number.
Thanks,
Jason Higbee
Research Associate
Federal Reserve Bank of St. Louis
The views expressed in this email are the author's and not necessarily
those of the Federal Reserve Bank of St. Louis or the Federal Reserve
2006 Apr 27
0
What are the differences between ACF and PACF in time seriesanalysis?
Hello Michael,
see as an online resource:
http://www.statsoft.com/textbook/sttimser.html or get hold on a time
series analysis textbook, like one of the monographies written by
Hamilton; Luetkepohl; Brockwell & Davis; Harvey or Box & Jenkins, to
name but a few.
In a nutshell, PACF 'eliminates' intermediate autocorrelations compared
to ACF, e.g. an AR(1) process will ordinarily
2011 Feb 25
0
time series with NA - acf - tsdiag - Ljung-Box
Hi all,
I am modelling a time series with missing data.
*Q1)* However, I am not sure if I should use the next *graphics* to
understand my data:
*a)* ACF & PACF (original series)
*b)* ACF & PACF (residuals)
* *
*Q2)* I am using *tsdiag*, so I obtain a graphic with 3 plots: stand.
residuals vs time; acf for residuals; Ljung-Box for residuals (it is wrong
for residuals).
I know that using
2010 Jul 22
0
Please advise acf and pacf in order to determine order of Arima
I have data as below.Please let me know how the ACF and Pacf used to
determine the order od arima model.
Is there any rules need to be followed to determine order.Please advise
> turkey.price.ts
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2001 1.58 1.75 1.63 1.45 1.56 2.07 1.81 1.74 1.54 1.45 0.57 1.15
2002 1.50 1.66 1.34 1.67 1.81 1.60 1.70 1.87 1.47 1.59 0.74 0.82
2010 Feb 11
1
ACF and PACF
Hi helpers,
can you help me in plotting acf and pacf functions in R.
I am using the code
acf(variable name)
but it is not working.
Expecting your reply.
Thanks
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2012 Dec 30
1
acf () and pacf()
I have used acf() and pacf() in R to get the acf and pacf values at
max/lag=20
but the output did not show the values associated with lag numbers. lag
numbers is shown in decimals.
--
Rashid Ameer
View my recent publication at
*
http://www.emeraldinsight.com/fwd.htm?id=aob&ini=aob&doi=10.1108/17538391211282854
*
Details for my works are available directly at
2007 Apr 27
1
acf and pacf plot
Hi,
I noticed that whenever I ran acf or pacf, the plot generated by R always
includes two horizontal blue doted lines. Furthermore, these two lines are
not documented in the acf documentation. I don't know what they are for, but
it seems that they are important. Could someone tell me what they are and
how are they calculated?
Thanks,
--
Tom
[[alternative HTML version deleted]]
2004 Mar 09
2
corARMA and ACF in nlme
Hi R-sters,
Just wondering what I might be doing wrong. I'm trying to fit a multiple
linear regression model, and being ever mindful about the possibilities of
autocorrelation in the errors (it's a time series), the errors appear to
follow an AR1 process (ar(ts(glsfit$residuals)) selected order 1). So,
when I go back and try to do the simultaneous regression and error fit with
gls,
2009 May 20
1
stationarity tests
How can I make sure the residual signal, after subtracting the trend extracted through some technique, is actually trend-free ?
I would greatly appreciate any suggestion about some Stationarity tests.
I'd like to make sure I have got the difference between ACF and PACF right.
In the following I am citing some definitions. I would appreciate your thoughts.
ACF(k) estimates the correlation
2003 Nov 23
0
Stangle - dropping re-used code chunks
My question is: is there a way for Rtangle() to *not* print re-used
code chunks? It'd be easy enough to brew up a perl script to do just
this, but if methods exist already, I'd rather use them. My reading of
the help pages and FAQs has missed something, if it's there.
Background:
I have course notes on R, written using Sweave. I want to provide the R
code separately so the
2004 Aug 17
1
suggestion for ARMAacf()
hi,
in 1.9.1, the return value from ARMAacf(pacf=TRUE) is not named by lags,
contrary to ?ARMAacf. the simple fix is to move names(Acf) <-
down after if(pacf), with an appropriate starting lag as pacf=TRUE appears
to start at lag 1 (whereas pacf=FALSE starts at lag 0).
for consistency, one could argue to append 1 for lag 0 for pacf=TRUE
(or start pacf=F at lag 1). however, given the
2008 Aug 28
3
Plots spanning columns
Hi! I want to plot three graphs (residuals, ACF and PACF of a
model). Ideally I would use a c(2,2) disposition where the residuals
plot would start at position 1,1 and span to position 1,2. Then I would
plot the ACF in position 2,1 and the PACF in position 2,2. Maybe is
clearer like this:
--------------------------
| |
| residuals |
|
2010 Nov 07
1
When using ACF, receive error: no applicable method for 'ACF' applied to an object of class "c('double', 'numeric')"
I am guessing this is a very simple question, but this is only my second day
with R so it is all still a bit imposing.
I am trying to run an autocorrelation.
I imported a CSV file, which has one column labeled "logistic".
I ran the command:
ACF(data$logistic,maxLag=10)
However, I received the error:
Error in UseMethod("ACF") :
no applicable method for 'ACF'
2009 Apr 05
0
Question about arima.sim()
Hi,
I tried to simulate an ARIMA model by using arima.sim(), say arima.sim(n=100,list(order=c(1,0,1),ar=0.6,ma=0.9,sd=1), but the acf and pacf of simulated data using acf() and pacf() are so much different from the theoritcal acf and pacf. For instance, in my case, ar=0.6 and ma=0.9, so the acf for all lags should be greater than 0 based on the theoritical calculation, but the acf of simulated
2000 Jun 20
1
pacf
Dear list,
according to the documentation of acf{ts}
"the partial correlation coefficient is estimated by fitting
autoregressive models of successively higher orders up to lag.max. "
However, R seems to return the Yule-Walker estimates of the PACF by
default. You can check this using c(1:10) as the series: the YW
estimates are 0.7000000 and -0.1527035 for lags 1 and 2 . If the PACF
2009 Jan 19
1
time series contains internal NAs error
Hello R List,
I seem to have a peculiar problem. When using time series data, I get
the following error when running the acf and pacf function.
Using the function acf(dtxts,plot= TRUE,xaxt = "n",col="red",na.action
= na.omit) (where dtxts is a time series object created with package
"xts" ) results in the error below.
Error in na.omit.ts(as.ts(x)) : time series
2006 Mar 04
1
replicated time series - lme?
Dear R-helpers,
I have a time series analysis problem in R:
I want to analyse the output of my simulation model which is proportional
cover of shrubs in a savanna plot for each of 500 successive years. I have
run the model (which includes stochasticity, especially in the initial
conditions) 17 times generating 17 time series of shrub cover.
I am interested in a possible periodicity of shrub
2007 Apr 28
1
pacf
Hi,
I wanted to understand exactly how acf and pacf works, so I tried to
calculate ac and pac manually. For ac, I used the standard acf formula:
acf(k) = sum(X(t)-Xbar)(X(t-k)-Xbar))/sum(X(t)-Xbar)^2. But for pac, I could
not figure out how to calculate it by hand. I understand that in both R and
EVIEWS, it is done using the Durbin-Levinson algorithm by the computer.
However, I don't
2018 Aug 30
2
Cambiar la escala del eje x
Estimados amigos
Estoy dibujando las funciones acf y pacf de una variable de una serie "zoo":
> ls.str(pat="T0.5")
T0.5 : 'zoo' series from 2017-11-08 23:00:00 to 2017-11-15 06:59:00
Data: num [1:9120, 1:3] 55 49.8 51 50.1 36.5 ...
Index: POSIXct[1:9120], format: "2017-11-08 23:00:00" "2017-11-08
23:01:00" "2017-11-08