perARMA (version 1.3)

parma_ident: Identification of PC-T structure

Description

Procedure parma_ident utilizes a collection of procedures (functions) that together provide identification of PC structure in the series and saves results in the 'ident.txt' file, which is located in the working directory. This procedure could be applied to the original time series x or to the residuals of fitted PARMA models to characterize the goodness of fit.

Usage

parma_ident(x, T, missval, datastr, ...)

Arguments

x

input time series.

T

period of PC-T structure.

missval

notation for missing values.

datastr

string name of data for printing.

...

other arguments: outdir is string name of the directory in which file 'ident.txt' with results returned by parma_ident procedure will be saved, details should be equal to 1 to print all details. By de

Value

• procedure returns list of values:
• pmean
  periodic mean values,
• xd
  series after removing periodic mean,
• pstd
  periodic standard deviations values,
• xn
  series obtained after removing periodic mean and divided by periodic standard deviations,
• as well as a text file 'ident.txt' containing all the textual output generated in the running of parma_ident.

Details

Procedure parma_ident provides a universal method for analyzing series or residuals. It calls following procedures: permest, persigest, peracf, Bcoeff, Bcoeffa, perpacf, ppfcoeffab, ppfplot, acfpacf.

References

Hurd, H. L., Miamee, A. G., (2007), Periodically Correlated Random Sequences: Spectral Theory and Practice, Wiley InterScience.

Examples

############### PC-T series simulation
T=12
nlen=480
descriptor='PARMA(2,1) periodic phis all del =1'
p=2
 a=matrix(0,T,p)
q=1
 b=matrix(0,T,q)
a[1,1]=.8                 
a[2,1]=.3                                                                
a[1,2]=-.9  
             
phia<-ab2phth(a) 
phi0=phia$phi            
phi0=as.matrix(phi0)       
      
b[1,1]=-.7	          
b[2,1]=-.6                  
thetab<-ab2phth(b)       
theta0=thetab$phi  
theta0=as.matrix(theta0) 
del0=matrix(1,T,1)        

makeparma_out<-makeparma(nlen,phi0,theta0,del0)                        
y=makeparma_out$y

############### parma_ident use
parma_ident(t(y),T,NaN,descriptor,outdir='PARMA21del1_ident')