Time Series Analysis Package
CORR Object
The CORR class object functions perform the autocorrelation and autocovariance analysis of a time series array and output all the values and results.
Table 1 summarizes the methods that are associated with the CORR object.
Table 1: Methods of the CORR Object
Figure 1 diagrams the methods of the CORR object.
Figure 1: CORR Data Flow
CORR Synopsis
DECLARE OBJECT obj (CORR);
Method syntax, in order of typical usage:
rc=obj.SetY (YSeries);
rc=obj.SetNLags (Value);
rc=obj.SetNParms (Value);
rc=obj.Run ();
rc=obj.GetResult ('Name',OutputArray);
CORR Methods
CORR.GetResult Method
rc=obj.GetResult ('Name',OutputArray);
Outputs the selected results to an array.
Input Arguments
You must specify the following input arguments:
- Name
-
specifies a string that identifies the result series to return. You can specify only one of the following values within single quotation marks:
- acov
returns an array of covariance estimates, with
entries. - acf
returns an array of autocorrelation estimates, with
entries. - acfstd
returns an array of standard errors, with
entries. - acf2std
returns an array of twice standard errors, with
entries. - acfnorm
returns an array of normalized autocorrelation, with
entries. - acfprob
returns an array of autocorrelation probabilities, with
entries. - acflprob
returns an array of autocorrelation log probabilities, with
entries. - pacf
returns an array of partial autocorrelation estimates, with
entries. - pacfstd
returns an array of partial autocorrelation standard errors, with
entries. - pacf2std
returns an array of twice standard errors, with
entries. - pacfnorm
returns an array of normalized partial autocorrelation, with
entries. - pacfprob
returns an array of partial autocorrelation probabilities, with
entries. - pacflprob
returns an array of partial autocorrelation log probabilities, with
entries. - iacf
returns an array of inverse autocorrelation estimates, with
entries. - iacfstd
returns an array of inverse autocorrelation standard errors, with
entries. - iacf2std
returns an array of twice standard errors, with
entries. - iacfnorm
returns an array of normalized inverse autocorrelation, with
entries. - iacfprob
returns an array of inverse autocorrelation probabilities, with
entries. - iacflprob
returns an array of inverse autocorrelation log probabilities, with
entries. - wn
returns an array of Ljung-Box white noise tests, with
entries. - wnprob
returns white noise probabilities.
- wnlprob
returns white noise log probabilities.
- OutputArray
specifies a numeric array to receive the result series.
CORR.Initialize Method
rc=obj.Initialize ();
Initializes a CORR object to an empty state. This method must be called before the time series arrays and other attributes are specified for the CORR object.
Arguments
There are no arguments associated with this method.
CORR.Run Method
rc=obj.Run ();
Runs the CORR object to perform the autocorrelation and autocovariance analysis by using the time series array YSeries that has been specified for it. Upon successful completion, various results can be extracted from the CORR object.
CORR.SetNLags Method
rc=obj.SetNLags (Value);
Sets a named option for the CORR object.
Input Arguments
You must specify the following input argument:
- Value
specifies the number of lags to use in the calculation. The default value is 24.
CORR.SetNParms Method
rc=obj.SetNParms (Value);
Sets a named option for the CORR object.
Input Arguments
You must specify the following input argument:
- Value
specifies the degrees of freedom associated with the Ljung-Box statistics. The default value is 0.
CORR.SetY Method
rc=obj.SetY (YSeries);
Specifies the time series array (YSeries) for the CORR object.
Input Arguments
You must specify the following input argument:
- YSeries
specifies a numeric array that contains the dependent series for the CORR object.
Arguments
There are no arguments associated with this method.