Time Series Analysis Package
PACF Method
rc = TSA.PACF (y, nlag, <lags>, <df>, <mu>, <pacf>, <pacfstd>, <pacf2std>, <pacfnorm>, <pacfprob>, <pacflprob>);
The PACF function computes the partial autocorrelation for a time series array.
Required Arguments
You must specify the following arguments, separated by a comma:
- y
specifies the times series array.
- nlag
specifies the number of the lag to use in the calculation.
Returned Values
The PACF function returns the following values:
- rc
-
returns one of the following scalar return codes:
rc Termination Reason 0 Success < 0 Computational failure
Optional Returned Values
You can also specify the following arguments, separated by commas, to request additional returned values. If you do not want the value to be returned, enter a space for it.
- lags
returns the number of the lag that was used in the calculation.
- df
returns the number of observations used to compute pacf.
- mu
returns the mean estimate.
- 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.
Example
This example uses the TSMODEL procedure to compute the autocorrelation of lag 3 of the time series Air:
proc tsmodel data=mylib.air outscalar=mylib.outscalars
outarray=mylib.outarray;
id date interval=month;
var air;
outscalars mu;
outarrays pacf lags df pacfstd;
require tsa;
submit;
declare object TSA(tsa);
rc=TSA.PACF(air, 3, lags, df, mu, pacf, pacfstd, , , , );
endsubmit;
run;