Time Series Analysis and Its Applications:

With R Examples
Second Edition
• HOME
• CHAPTER 1
• CHAPTER 2
• CHAPTER 3
• CHAPTER 4
• CHAPTER 5

R Code Used in the Text (Chapters 1-5)

Everything you see in a box below is R code. You can copy-and-paste any line (or
multiple lines) into R. Make sure the data files are in the mydata directory (or change the
code accordingly). R code for Chapter 6 has its own page and we also have some code for
Chapter 7. We have improved, corrected or streamlined some of the code below, so there
are a few cases where the code here differs slightly from what is in the text.

Disclaimer: Sometimes I use t for time ... e.g., t = 1984:2001. This is "bad R practice"
because t is used for matrix transpose, i.e., t(A) is the transpose of matrix A. If you don't want
to be bad, you can replace my t in the code below with something else. I like to be bad
sometimes, but you've been warned ... so don't blame me if you turn to a life of crime.

CHAPTER 1

Example 1.1

jj = scan(“c:/data/jj.dat") # yes forward slash

jj = ts(jj, start=1960, frequency=4)
plot(jj, ylab="Quarterly Earnings per Share")

Example 1.6

fmri = read.table(“c:/data/fmri.dat")
par(mfrow=c(2,1)) # sets up the graphics - ?par for info
on mfrow()
 ts.plot(fmri[,2:5], lty=c(1,4), ylab="BOLD")
ts.plot(fmri[,6:9], lty=c(1,4), ylab="BOLD")

Example 1.7

x = matrix(scan(“c:/data/eq5exp6.dat"), ncol=2)
par(mfrow=c(2,1))
plot.ts(x[,1], main="Earthquake", ylab="EQ5")
plot.ts(x[,2], main="Explosion", ylab="EXP6")

Example 1.9

w = rnorm(500,0,1) # 500 N(0,1) variates

v = filter(w, sides=2, rep(1,3)/3) # moving average
par(mfrow=c(2,1))
plot.ts(w, main="white noise")
plot.ts(v, main="moving average")
# now try this:
ts.plot(w, v, lty=2:1, col=1:2, lwd=1:2)

Example 1.10

w = rnorm(550,0,1) # 50 extra to avoid startup problems -

the [-(1:50)] on the next line...
x = filter(w, filter=c(1,-.9), method="recursive")[-
(1:50)] #... removes the first 50 values
plot.ts(x)

Example 1.11

set.seed(154)
w = rnorm(200,0,1)
x = cumsum(w)
wd = w +.2
xd = cumsum(wd)
plot.ts(xd, ylim=c(-5,55))
lines(x)
lines(.2*(1:200), lty="dashed")
Example 1.12

t = 1:500
c = 2*cos(2*pi*t/50 + .6*pi)
w = rnorm(500,0,1)
par(mfrow=c(3,1))
plot.ts(c)
plot.ts(c + w)
plot.ts(c + 5*w)

Example 1.24

speech = scan(“c:/data/speech.dat")
acf(speech,250)

Example 1.25

soi = ts(scan(“c:/data/soi.dat"), start=1950, frequency=12)

rec = ts(scan(“c:/data/recruit.dat"), start=1950,
frequency=12)
par(mfrow=c(3,1))
acf(soi, 50)
acf(rec, 50)
ccf(soi, rec, 50)
top

CHAPTER 2

Example 2.1

globtemp = ts(scan(“c:/data/globtemp.dat"), start=1856)

gtemp = window(globtemp, start=1900) # use years
1990 to 1997
fit = lm(gtemp~time(gtemp), na.action=NULL) # regress
gtemp on time
#-- note: na.action=NULL is used to retain time series
attributes - ?lm for info
summary(fit) # view the results
 plot(gtemp, type="o", ylab="Global Temperature Deviation")
# plot the series
abline(fit) # add regression line to the
plot

Example 2.2

mort = ts(scan(“c:/data/cmort.dat"),start=1970,
frequency=52)
temp = ts(scan(“c:/data/temp.dat"), start=1970,
frequency=52)
part = ts(scan(“c:/data/part.dat"), start=1970,
frequency=52)
par(mfrow=c(3,1), mar=c(3,4,3,2)) # plot data - ?
par for info on mar()
plot(mort, main="Cardiovascular Mortality", xlab="",
ylab="")
plot(temp, main="Temperature", xlab="", ylab="")
plot(part, main="Particulates", xlab="", ylab="")
x11() # open another graphic
device
pairs(cbind(mort, temp, part)) # scatterplot matrix
temp = temp-mean(temp)
temp2 = temp^2
trend = time(mort) # time
fit = lm(mort~ trend + temp + temp2 + part,
na.action=NULL)
summary(fit) # regression results
anova(lm(mort~cbind(trend, temp, temp2, part))) # pretty
ANOVA table
num = length(mort) # sample size
AIC(fit)/num - log(2*pi) # AIC (corresponds
to def 2.1)
AIC(fit, k=log(num))/num - log(2*pi) # BIC (corresponds
to def 2.3)
(AICc = log(sum(resid(fit)^2)/num)+(num+5)/(num-5-2)) #
AICc (as in def 2.2)
Examples 2.3 and 2.4

globtemp = ts(scan(“c:/data/globtemp.dat"), start=1856)

gtemp = window(globtemp, start=1900) # use
years 1990 to 1997
fit = lm(gtemp~time(gtemp), na.action=NULL) #
regress gtemp on time
par(mfrow=c(2,1))
plot(resid(fit), type="o", main="detrended")
plot(diff(gtemp), type="o", main="first difference") #
this and below will do example 2.4
x11() # open a new graphic device
par(mfrow=c(3,1)) # plot ACFs
acf(gtemp, 48)
acf(resid(fit), 48)
acf(diff(gtemp), 48)

Example 2.6
You can download a function called lag.plot2 that will do the second part of this example
over here.

soi = ts(scan(“c:/data/soi.dat"), start=1950, frequency=12)

rec = ts(scan(“c:/data/recruit.dat"), start=1950,
frequency=12)
lag.plot(soi, lags=12, layout=c(3,4), diag=F)

par(mfrow=c(3,3), mar=c(2.5, 4, 4, 1)) # set up plot area

for(h in 0:8){ # loop through
lags 0-8
plot(lag(soi,-h),rec, main=paste("soi(t-",h,")",sep=""),
ylab="rec(t)",xlab="")
}

Example 2.8

t = 1:500
x = 2*cos(2*pi*t/50 + .6*pi) + rnorm(500,0,5)
I = abs(fft(x)/sqrt(500))^2 # the periodogram
P = (4/500)*I # the scaled periodogram
 f = 0:250/500
plot(f, P[1:251], type="l", xlab="frequency", ylab=" ")
abline(v=seq(0,.5,.02), lty="dotted")

Example 2.10

mort = ts(scan(“c:/data/cmort.dat"),start=1970,
frequency=52)
ma5 = filter(mort, sides=2, rep(1,5)/5)
ma53 = filter(mort, sides=2, rep(1,53)/53)
plot(mort, type="p", xlab="week", ylab="mortality")
lines(ma5)
lines(ma53)

Example 2.11

wk = time(mort) - mean(time(mort)) # week (centered) -

it's basically t/52 ...
wk2 = wk^2 # ... because
frequency=52 for mort
wk3 = wk^3
c = cos(2*pi*wk)
s = sin(2*pi*wk)
reg1 = lm(mort~wk + wk2 + wk3, na.action=NULL)
reg2 = lm(mort~wk + wk2 + wk3 + c + s, na.action=NULL)
plot(mort, type="p", ylab="mortality")
lines(fitted(reg1))
lines(fitted(reg2))

# here's the original code where mort isn't a ts object

mort = scan(“c:/data/cmort.dat")
t = 1:length(mort)
t2 = t^2
t3 = t^3
c = cos(2*pi*t/52)
s = sin(2*pi*t/52)
fit1 = lm(mort~t + t2 + t3)
fit2 = lm(mort~t + t2 + t3 + c + s)
 plot(t, mort)
lines(fit1$fit)
lines(fit2$fit)

Example 2.12

plot(mort, type="p", ylab="mortality")

lines(ksmooth(time(mort), mort, "normal",
bandwidth=10/52)) # or try bandwidth=5/52
lines(ksmooth(time(mort), mort, "normal", bandwidth=2))

# - original code when mort wasn't a time series with

frequency=52
plot(t, mort)
lines(ksmooth(t, mort, "normal", bandwidth=10))
lines(ksmooth(t, mort, "normal", bandwidth=104))

# Red indicates a change; Fig. 2.15 shows a bandwidth of

10.

Example 2.13

par(mfrow=c(2,1))
plot(mort,type="p", ylab="mortality", main="nearest
neighbor")
lines(supsmu(time(mort), mort, span=.5))
lines(supsmu(time(mort), mort, span=.01))
plot(mort, type="p", ylab="mortality", main="lowess")
lines(lowess(mort, f=.02))
lines(lowess(mort, f=2/3))

Example 2.14

plot(mort, type="p", ylab="mortality")

lines(smooth.spline(time(mort), mort))
lines(smooth.spline(time(mort), mort, spar=1))
# - original code when mort wasn't a time series with
frequency=52
plot(t, mort)
lines(smooth.spline(t, mort, spar=.0000001))
lines(smooth.spline(t, mort, spar=.1))

Example 2.15

par(mfrow=c(2,1))
plot(temp, mort, main="lowess")
lines(lowess(temp,mort))
plot(temp, mort, main="smoothing splines")
lines(smooth.spline(temp,mort))
top

CHAPTER 3

Example 3.1

par(mfrow=c(2,1))
plot(arima.sim(list(order=c(1,0,0), ar=.9), n=100),
ylab="x",main=(expression(AR(1)~~~phi==+.9))) # ~
is a space and == is equal
plot(arima.sim(list(order=c(1,0,0), ar=-.9), n=100),
ylab="x",main=(expression(AR(1)~~~phi==-.9)))

Example 3.3

par(mfrow=c(2,1))
plot(arima.sim(list(order=c(0,0,1), ma=.5), n=100),
ylab="x",main=(expression(MA(1)~~~theta==+.5)))
plot(arima.sim(list(order=c(0,0,1), ma=-.5), n=100),
ylab="x",main=(expression(MA(1)~~~theta==-.5)))

Example 3.9

set.seed(5)
 ar2 = arima.sim(list(order=c(2,0,0), ar=c(1.5,-.75)), n =
144)
t = (1:144)/12
plot(t, ar2, type="l", xlab="Time (one unit = 12 points)")
abline(v=0:12, lty="dotted")

Example 3.10

ARMAtoMA(ar=.9, ma=.5, 50) # for a list

plot(ARMAtoMA(ar=.9, ma=.5, 50)) # for a graph

Example 3.14

ar2.acf = ARMAacf(ar=c(1.5,-.75), ma=0, 24)

ar2.pacf = ARMAacf(ar=c(1.5,-.75), ma=0, 24, pacf=T)
par(mfrow=c(1,2))
plot(ar2.acf, type="h", xlab="lag")
abline(h=0)
plot(ar2.pacf, type="h", xlab="lag")
abline(h=0)

Example 3.16

rec = ts(scan("c:/data/recruit.dat"), start=1950,

frequency=12)
par(mfrow=c(2,1)); acf(rec, 48); pacf(rec, 48)
(fit = ar.ols(rec,order=2,demean=F,intercept=T)) #
estimates
fit$asy.se # standard errors

Example 3.26

rec.yw = ar.yw(rec, order=2)

rec.yw$x.mean
rec.yw$ar
sqrt(diag(rec.yw$asy.var.coef))
rec.yw$var.pred
rec.pr = predict(rec.yw, n.ahead=24)
 U = rec.pr$pred + rec.pr$se
L = rec.pr$pred - rec.pr$se
minx = min(rec,L)
maxx = max(rec,U)
ts.plot(rec, fore$pred, xlim=c(1980,1990),
ylim=c(minx,maxx))
lines(rec.pr$pred, col="red", type="o")
lines(U, col="blue", lty="dashed")
lines(L, col="blue", lty="dashed")

Example 3.29

rec.mle = ar.mle(rec, order=2)

rec.mle$x.mean
rec.mle$ar
sqrt(diag(rec.mle$asy.var.coef))
rec.mle$var.pred

Example 3.33

x = scan(“c:/data/ar1boot.dat") # see note below

m = mean(x) # estimate of mu
fit = ar.yw(x, order=1)
phi = fit$ar # estimate of phi
nboot = 200 # number of bootstrap replicates
resids = fit$resid
resids = resids[2:100] # the first resid is NA
x.star = x # initialize x.star
phi.star = matrix(0, nboot, 1)
for (i in 1:nboot) {
resid.star = sample(resids, replace=TRUE)
for (t in 1:99){
x.star[t+1] = m + phi*(x.star[t]-m) + resid.star[t]
}
phi.star[i] = ar.yw(x.star, order=1)$ar
}

# Red indicates a change; see the errata.

# If you want to simulate your own data, use the following
commands:
e = rexp(150, rate = .5)
u = runif(150,-1,1)
de = e*sign(u)
x = 50 + arima.sim(n = 100, list(ar =.95), innov = de,
n.start = 50)

Example 3.35

gnp96 = read.table(“c:/data/gnp96.dat")
gnp = ts(gnp96[,2], start=1947, frequency=4)
plot(gnp)
acf(gnp, 50)
gnpgr = diff(log(gnp)) # growth rate
plot.ts(gnpgr)
par(mfrow=c(2,1))
acf(gnpgr, 24)
pacf(gnpgr, 24)
# Fit ARIMA and view results:
(gnpgr.ar = arima(gnpgr, order = c(1, 0, 0))) # potential
problem here (see R Issue 1)
(gnpgr.ma = arima(gnpgr, order = c(0, 0, 2)))
ARMAtoMA(ar=.35, ma=0, 10) # prints psi-weights

Example 3.36

tsdiag(gnpgr.ma, gof.lag=20)

Example 3.37

varve = scan(“c:/data/varve.dat")
(varve.ma = arima(log(varve), order = c(0, 1, 1)))
tsdiag(varve.ma)
(varve.arma = arima(log(varve), order = c(1, 1, 1)))
tsdiag(varve.arma, gof.lag=20)
Example 3.39

n = length(gnpgr) # sample size

kma = length(gnpgr.ma$coef)
model
sma=gnpgr.ma$sigma2
kar = length(gnpgr.ar$coef)
model
sar=gnpgr.ar$sigma2
# number of parameters in ma
# mle of sigma^2
# number of parameters in ar
# mle of sigma^2

# AIC Returned Value

log(sma) + (n+2*kma)/n # MA2 -8.298
log(sar) + (n+2*kar)/n # AR1 -8.294
# AICc
log(sma) + (n+kma)/(n-kma-2) # MA2 -8.288
log(sar) + (n+kar)/(n-kar-2) # AR1 -8.285
# BIC
log(sma) + kma*log(n)/n # MA2 -9.252
log(sar) + kar*log(n)/n # AR1 -9.264

## Note: You can use sarima.R to get the above

## (remember to source the code first):
sarima(gnpgr,0,0,2) # for the MA(2)
sarima(gnpgr,1,0,0) # for the AR(1)

Example 3.41

phi = c(rep(0,11),.8)
acf = ARMAacf(ar=phi, ma=-.5, 50)
pacf = ARMAacf(ar=phi, ma=-.5, 50, pacf=T)
par(mfrow=c(1,2))
plot(acf, type="h", xlab="lag")
abline(h=0)
plot(pacf, type="h", xlab="lag")
abline(h=0)

Example 3.43
 prod=ts(scan(“c:/data/prod.dat"), start=1948, frequency=12)
par(mfrow=c(2,1)) # (P)ACF of data
acf(prod, 48)
pacf(prod, 48)
par(mfrow=c(2,1)) # (P)ACF of d1 data
acf(diff(prod), 48)
pacf(diff(prod), 48)
par(mfrow=c(2,1)) # (P)ACF of d1-d12 data
acf(diff(diff(prod),12), 48)
pacf(diff(diff(prod),12), 48)
### fit model (iii)
prod.fit3 = arima(prod, order=c(1,1,1),
seasonal=list(order=c(2,1,1), period=12))
prod.fit3 # to view the results
tsdiag(prod.fit3, gof.lag=48) # diagnostics
### forecasts for the final model
prod.pr = predict(prod.fit3, n.ahead=12)
U = prod.pr$pred + 2*prod.pr$se
L = prod.pr$pred - 2*prod.pr$se
ts.plot(prod,prodpr$pred, col=1:2, type="o",
ylim=c(105,175), xlim=c(1975,1980))
lines(U, col="blue", lty="dashed")
lines(L, col="blue", lty="dashed")

## Note: This can be done using acf2.R, sarima.R

## and sarima.for.R (over here) as follows
## (remember to source the code first):
prod=scan(“c:/data/prod.dat")
acf2(prod,48)
acf2(diff(prod), 48)
acf2(diff(diff(prod),12), 48)
### fit model (iii)
sarima(prod,1,1,1,2,1,1,12)
### forecasts for the final model
sarima.for(prod,12,1,1,1,2,1,1,12)
##
## -- See the note for this example in the errata.
top

CHAPTER 4

Example 4.1

t = 1:100
x1 = 2*cos(2*pi*t*6/100) + 3*sin(2*pi*t*6/100)
x2 = 4*cos(2*pi*t*10/100) + 5*sin(2*pi*t*10/100)
x3 = 6*cos(2*pi*t*40/100) + 7*sin(2*pi*t*40/100)
x = x1 + x2 + x3
par(mfrow=c(2,2))
plot.ts(x1, ylim=c(-10,10), main =
expression(omega==6/100~~~A^2==13))
plot.ts(x2, ylim=c(-10,10), main =
expression(omega==10/100~~~A^2==41))
plot.ts(x3, ylim=c(-10,10), main =
expression(omega==40/100~~~A^2==85))
plot.ts(x, ylim=c(-16,16),main="sum")

Example 4.2

P = abs(2*fft(x)/100)^2
f = 0:50/100
plot(f, P[1:51], type="o", xlab="frequency",
ylab="periodogram")

Example 4.7

x = c(1,2,3,2,1)
c1 = cos(2*pi*1:5*1/5)
s1 = sin(2*pi*1:5*1/5)
c2 = cos(2*pi*1:5*2/5)
s2 = sin(2*pi*1:5*2/5)
omega1 = cbind(c1, s1)
omega2 = cbind(c2, s2)
anova(lm(x~omega1+omega2)) # ANOVA Table
 abs(fft(x))^2/5 # the periodogram (as a
check)

Example 4.9

soi = scan(“c:/data/soi.dat")
rec = scan(“c:/data/recruit.dat")
par(mfrow=c(2,1))
soi.per = spec.pgram(soi, taper=0, log="no")
abline(v=1/12, lty="dotted")
abline(v=1/48, lty="dotted")
rec.per = spec.pgram(rec, taper=0, log="no")
abline(v=1/12, lty="dotted")
abline(v=1/48, lty="dotted")
soi.per$spec[40] # soi pgram at freq 1/12 = 40/480
soi.per$spec[10] # soi pgram at freq 1/48 = 10/480
# -- conf intervals -- # returned value:
U = qchisq(.025,2) # 0.05063562
L = qchisq(.975,2) # 7.377759
2*soi.per$spec[10]/L # 0.1747835
2*soi.per$spec[10]/U # 25.46648
2*soi.per$spec[40]/L # 3.162688
2*soi.per$spec[40]/U # 460.813
# -- replace soi with rec above to get recruit values

###########################################################
############################
###- Repeat example using "frequency=12" for monthly data
and note the differences -###
###- basically, "everything" is in multiples of Δ = 1/12
-###
###########################################################
############################
soi=ts(scan(“c:/data/soi.dat"), start=1950, frequency=12)
rec=ts(scan(“c:/data/recruit.dat"), start=1950,
frequency=12)
par(mfrow=c(2,1))
 soi.per = spec.pgram(soi, taper=0, log="no")
abline(v=1, lty="dotted")
abline(v=1/4, lty="dotted")
rec.per = spec.pgram(rec, taper=0, log="no")
abline(v=1, lty="dotted")
abline(v=1/4, lty="dotted")
soi.per$spec[40] # soi pgram at freq 1/12 = 40/480
soi.per$spec[10] # soi pgram at freq 1/48 = 10/480
# -- conf intervals -- # returned value:
U = qchisq(.025,2) # 0.05063562
L = qchisq(.975,2) # 7.377759
2*soi.per$spec[10]/L # 0.01456530
2*soi.per$spec[10]/U # 2.122207
2*soi.per$spec[40]/L # 0.2635573
2*soi.per$spec[40]/U # 38.40108

Example 4.10

par(mfrow=c(2,1))
k = kernel("daniell",4)
soi.ave = spec.pgram(soi, k, taper=0, log="no")
abline(v=1/12, lty="dotted")
abline(v=2/12, lty="dotted")
abline(v=3/12, lty="dotted")
abline(v=1/48, lty="dotted")
# -- Repeat 5 lines above using rec in place of soi
soi.ave$bandwidth # reported bandwidth
soi.ave$bandwidth*sqrt(12) # Bw

df = soi.ave$df # df = 16.9875 (returned values)

U = qchisq(.025,df) # U = 7.555916
L = qchisq(.975,df) # L = 30.17425
soi.ave$spec[10] # 0.5942431
soi.ave$spec[40] # 1.428959
# -- intervals --
df*soi.ave$spec[10]/L # 0.334547
df*soi.ave$spec[10]/U # 1.336000
 df*soi.ave$spec[40]/L # 0.8044755
df*soi.ave$spec[40]/U # 3.212641
# -- repeat above commands with soi replaced by rec

Example 4.11

kernel("modified.daniell", c(3,3)) # for a list

plot(kernel("modified.daniell", c(3,3))) # for a graph
par(mfrow=c(2,1))
k = kernel("modified.daniell", c(3,3))
soi.smo = spec.pgram(soi, k, taper=0, log="no")
abline(v=1/12, lty="dotted")
abline(v=1/48, lty="dotted")
# -- Repeat above 3 lines with rec replacing soi
df = soi.smo$df # df=17.42618
Lh = 1/sum(k[-k$m:k$m]^2) # Lh=9.232413
Bw = Lh/480 # Bw=0.01923419

# An easier way to obtain soi.smo (you can add log="no"):

soi.smo = spectrum(soi, spans=c(7,7), taper=0)

Example 4.12

par(mfrow=c(3,1))
spectrum(soi, spans=c(7,7), taper=0, main="No Taper")
abline(v=1/12,lty="dashed")
abline(v=1/48,lty="dashed")
spectrum(soi, spans=c(7,7), main="10% Taper")
abline(v=1/12,lty="dashed")
abline(v=1/48,lty="dashed")
spectrum(soi, spans=c(7,7), taper=.5, main="50% Taper")
abline(v=1/12,lty="dashed")
abline(v=1/48,lty="dashed")

Example 4.13

x = matrix(scan(“c:/data/eq5exp6.dat"), ncol=2)
eqP = x[1:1024, 1]; eqS = x[1025:2048, 1]
 exP = x[1:1024, 2]; exS = x[1025:2048, 2]
par(mfrow=c(2,2))
eqPs=spectrum(eqP, spans=c(21,21), log="no",
xlim=c(0,.25), ylim=c(0,.04))
eqSs=spectrum(eqS, spans=c(21,21), log="no",
xlim=c(0,.25), ylim=c(0,.4))
exPs=spectrum(exP, spans=c(21,21), log="no",
xlim=c(0,.25), ylim=c(0,.04))
exSs=spectrum(exS, spans=c(21,21), log="no",
xlim=c(0,.25), ylim=c(0,.4))
exSs$df

Example 4.16

x = ts(cbind(soi,rec))
s = spec.pgram(x, kernel("daniell",9), taper=0)
s$df # df = 35.8625
f = qf(.999, 2, s$df-2) # f = 8.529792
c = f/(18+f) # c = 0.3188779
plot(s, plot.type = "coh", ci.lty = 2)
abline(h = c)

Example 4.17

par(mfrow=c(3,1))
plot.ts(soi) # the data
plot.ts(diff(soi)) # first difference
k = kernel("modified.daniell", 6) #-- 12 month filter
soif = kernapply(soi,k)
plot.ts(soif)
x11() # open new graphics device
spectrum(soif, spans=9, log="no") #-- spectral analysis
abline(v=1/52, lty="dotted")
windows()
w = seq(0,.5, length=1000) #-- frequency response
FR = abs(1-exp(2i*pi*w))^2
plot(w, FR, type="l")
Example 4.19

spec.ar(soi, log="no") # plot min AIC spectrum

abline(v=1/52, lty="dotted") # locate El Niño period
abline(v=1/12, lty="dotted") # locate yearly period
soi.ar = ar(soi, order.max=30) # obtain AICs
plot(0:30, soi.ar$aic, type="l") # plot AICs
soi.ar # view results

Example 4.20

eqexp = matrix(scan(“c:/data/eq5exp6.dat"), ncol=2)

ex = eqexp[,2] # the explosion series
## -- dynamic spectral analysis -- ##
nobs = length(ex) # number of observations
wsize = 256 # window size
overlap = 128 # overlap
ovr = wsize-overlap
nseg = floor(nobs/ovr)-1; # number of segments
krnl = kernel("daniell", c(1,1)) # kernel
ex.spec = matrix(0,wsize/2,nseg)
for (k in 1:nseg) {
a = ovr*(k-1)+1
b = wsize+ovr*(k-1)
ex.spec[,k]=spectrum(ex[a:b],krnl,taper=.5,plot=F)$spec
}
## --plot results -- ##
x = seq(0, .5, len = nrow(ex.spec))
y = seq(0, ovr*nseg, len = ncol(ex.spec))
persp(x, y, ex.spec, zlab="Power", xlab="frequency",
ylab="time", ticktype = "detailed", theta=25, d=2)

Example 4.21

# -- uses the waveslim package --#

library(waveslim)
eqexp = matrix(scan(“c:/data/eq5exp6.dat"), ncol=2)
eq = eqexp[,1] # the earthquake series
 eq.dwt = dwt(eq, n.levels=6)
# -- plot the dwt and calculate TP -- #
TP = matrix(0,7,1)
par(mfcol=c(7,1), pty="m", mar=c(3,4,2,2))
for(i in 1:6){
plot.ts(up.sample(eq.dwt[[i]], 2^i), type="h", axes=F,
ylab=names(eq.dwt)[i])
abline(h=0)
axis(side=2)
TP[i]=sum(eq.dwt[[i]]^2)
}
plot.ts(up.sample(eq.dwt[[7]], 2^6), type="h", axes=F,
ylab=names(eq.dwt)[7])
abline(h=0)
axis(side=2)
axis(side=1)
TP[7]=sum(eq.dwt[[7]]^2)
TP/sum(eq^2) # the energy distribution
# To plot the ordinates of the wavelet transforms on the
# same scale, include a command like ylim=c(-1.5,1.5) in
# each plot.ts() command.

Example 4.22

# -- uses the waveslim package --#

# -- assumes eq is retained from previous example --#
library(waveslim)
eq.dwt = dwt(eq, n.levels=6)
eq.trsh = universal.thresh(eq.dwt, hard=F)
eq.smo = idwt(eq.trsh)
par(mfrow=c(3,1))
plot.ts(eq, ylab="Earthquake", ylim=c(-.5,.5))
plot.ts(eq.smo,ylab="Smoothed Earthquake",ylim=c(-.5,.5))
plot.ts(eq-eq.smo, ylab="Noise", ylim=c(-.5,.5))
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CHAPTER 5
Example 5.1

# -- uses the fracdiff package --#

library(fracdiff)
lvarve = log(varve)-mean(log(varve))
varve.fd = fracdiff(lvarve, nar=0, nma=0, M=30)
varve.fd$d
varve.fd$stderror.dpq

Example 5.3

# -- uses the tseries package --#

library(tseries)
gnp96 = read.table(“c:/data/gnp96.dat")
gnpr = diff(log(gnp96[,2]))
gnpr.ar = ar.mle(gnpr, order.max=1) # recall phi1 =.347
y = gnpr.ar$resid[2:length(gnpr)] # first resid is NA
arch.y = garch(y,order=c(0,1))
summary.garch(arch.y)
NB: You can fit simultaneous [ARMA mean and GARCH variance] models using
garchFit() from the package fSeries. Unfortunately, I couldn't get it to work with
this example.

Example 5.4

# -- uses the tseries package --#

library(tseries)
nyse = scan(“c:/data/nyse.dat")
nyse.g = garch(nyse, order=c(1,1))
# old:
# summary.garch(nyse.g)
# u = predict.garch(nyse.g)
# new:
summary(nyse.g)
u = predict(nyse.g)
plot(800:1000, nyse[800:1000], type="l", xlab="Time",
ylab="NYSE Returns")
lines(u[,1], col="blue", lty="dashed")
lines(u[,2], col="blue", lty="dashed")
Example 5.7
This code does not appear in the text where the results were obtained using ASTSA.
Here we use gls() from the nlme package.

library(nlme)
mort = scan(“c:/data/cmort.dat")
temp = scan(“c:/data/temp.dat")
part = scan(“c:/data/part.dat")
temp = temp - mean(temp)
temp2 = temp^2
trend = 1:length(mort)
# -- lm() fit in Example 2.2 indicates AR(2) for the
residuals
fit.gls = gls(mort~trend + temp + temp2 + part,
correlation=corARMA(p=2), method="ML")
# -- the results (abbreviated)
summary(fit.gls)
Correlation Structure: ARMA(2,0)
Parameter estimate(s):
Phi1 Phi2
0.3848530 0.4326282
Coefficients: Value Std.Error t-value p-value
(Intercept) 87.63747 2.7327956 32.06880 0.0000
trend -0.02915 0.0081705 -3.56781 0.0004
temp -0.01881 0.0430264 -0.43715 0.6622
temp2 0.01542 0.0020289 7.60244 0.0000
part 0.15437 0.0248071 6.22297 0.0000
Residual standard error: 7.699336
Degrees of freedom: 508 total; 503 residual
# -- check noise for whiteness (* see note below)
w = filter(residuals(fit.gls), filter=c(1,-.3848530,
-.4326282), sides=1)
w = w[3:508] # first two are NA
Box.test(w, 20, type="Ljung") # Ljung-Box-Pierce
Statistic
X-squared = 26.793, df = 20, p-value = 0.1412
pchisq(26.793, 18, lower=F) # the p-value (they are
resids from an ar2 fit)
 0.08296072
* The errors from the gls fit, say e(t), are estimated to be of the form e(t) = .3848530 e(t-1) +
.4326282 e(t-2) + w(t). The filter statement gets at the w(t), which should be white.
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© Copyright 2006, R.H. Shumway & D.S. Stoffer