Practice 2 from Introductory Time Series with R

YIK LUN, KEI

allen29@ucla.edu
This paper is a practice from the book called Introductory Time Series with R
by Cowpertwait, Paul SP, and Andrew V. Metcalfe. All R codes and comments
below are belonged to the book and authors.

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2

set.seed(1)
w <- rnorm(100)
plot(w, type = "l")

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Index

x <- seq(-3,3, length = 1000)

hist(rnorm(100), prob = T)
points(x, dnorm(x), type = "l")

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100

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Density

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Histogram of rnorm(100)

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rnorm(100)

set.seed(2)
acf(rnorm(100))

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ACF

Series rnorm(100)

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x <- w <- rnorm(1000)

for (t in 2:1000) x[t] <- x[t - 1] + w[t]
plot(x, type = "l")

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Index

acf(x)

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1000

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ACF

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Series x

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acf(diff(x))

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ACF

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Series diff(x)

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www <- "http://staff.elena.aut.ac.nz/Paul-Cowpertwait/ts/pounds_nz.dat"

Z <- read.table(www, header = T)
Z.ts <- ts(Z, st = 1991, fr = 4)
plot(Z.ts,xlab = "years",ylab = "Quarterly exchange rate in $NZ / pound")

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1992
1994
1996

years

acf(diff(Z.ts))

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2000

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Quarterly exchange rate in $NZ / pound

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ACF

xrate

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Z.hw <- HoltWinters(Z.ts, alpha = 1, gamma = FALSE)

acf(resid(Z.hw))

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ACF

object$x

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Z.hw$alpha

## [1] 1
Z.hw$beta
## [1] 0.167018
www <- "http://staff.elena.aut.ac.nz/Paul-Cowpertwait/ts/HP.txt"
HP.dat <- read.table(www, header = T) ; attach(HP.dat)
plot (as.ts(Price))

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as.ts(Price)

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Time

DP <- diff(Price)
plot (as.ts(DP))

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as.ts(DP)

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acf (DP)

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ACF

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Series DP

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mean(DP) + c(-2, 2) * sd(DP)/sqrt(length(DP))

## [1] 0.004378275 0.075353468
rho <- function(k, alpha) alpha^k
plot(0:10, rho(0:10, 0.7), type = "b")

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rho(0:10, 0.7)

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plot(0:10, rho(0:10, -0.7), type = "b")

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rho(0:10, 0.7)

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set.seed(1)
x <- w <- rnorm(100)
for (t in 2:100) x[t] <- 0.7 * x[t - 1] + w[t]
plot(x, type = "l")

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Index

acf(x)

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ACF

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Series x

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pacf(x)

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Partial ACF

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Series x

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x.ar <- ar(x, method = "mle")

x.ar$order
## [1] 1
x.ar$ar
## [1] 0.6009459
x.ar$ar + c(-2, 2) * sqrt(x.ar$asy.var)
## [1] 0.4404031 0.7614886
Z.ar <- ar(Z.ts)
mean(Z.ts)
## [1] 2.823251
Z.ar$order
## [1] 1

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Z.ar$ar
## [1] 0.890261
Z.ar$ar + c(-2, 2) * sqrt(Z.ar$asy.var)

## [1] 0.7405097 1.0400123

acf(Z.ar$res[-1])

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ACF

Series Z.ar$res[1]

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Lag

Reference:
Cowpertwait, Paul SP, and Andrew V. Metcalfe. Introductory time
series withR. Springer Science & Business Media, 2009.

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