AUTOCORRELATION BAND
Name:
AUTOCORRELATION BAND (SET)
Type:
Purpose:
Specify what type of confidence bands are drawn on
subsequent autocorrelation plots.
Description:
Autocorrelation plots are used for the following two
purposes:
- To assess the independence (i.e., randomness) of a
set of observations.
In this case, the desired confidence bands are
where 
is the desired significance level, z is
the percent point function of the standard normal
distribution, and N is the sample size. In this case,
the confidence bands have a fixed width.
- In the context of ARIMA models, confidence bands are
generated under the assumption that the data are from a
moving average process. In this context, confidence
bands help identify the appropriate order for the
moving average model. The formula for the confidence
bands is
where
is the desired significance level, z is the percent
point function of the standard normal distribution, N
is the sample size, and k is the desired lag. In this
case, the width of the confidence bands increases as the lag,
k, increases.
Syntax:
SET AUTOCORRELATION BAND <WHITE NOISE/BOX JENKINS>
where <WHITE NOISE> specifies that the confidence bands are
drawn to show independence while <BOX JENKINS> specifies
that confidence bands are drawn to identify the
order of the movign average process.
Examples:
SET AUTOCORRELATION BAND WHITE NOISE
SET AUTOCORRELATION BAND BOX JENKINS
Default:
The default is WHITE NOISE.
Synonyms:
ARMA, ARIMA, BOXJENKINS, BOX, and JENKINS are synonyms
for BOX JENKINS. Any other text reverts to the default
choice of WHITE NOISE.
Related Commands:
|
CORRELATION PLOT
|
= Generate an autocorrelation, partial autocorrelation,
or cross correlation plot.
|
|
AUTOCORRELATION LAG
|
= Specifies whether the lag 0 value is plotted on
subsequent autocorrelation or partial autocorrelation plots.
|
|
SPECTRAL PLOT
|
= Generate a spectral plot.
|
Applications:
Implementation Date:
Program:
READ NEGIZ4.DAT X1 X2 Y
SET AUTOCORRELATION BAND BOX JENKINS
SET AUTOCORRELATION LAG ZERO OFF
LINE BLANK
SPIKE ON
LINE COLOR BLACK BLACK BLUE BLUE RED RED
X1LABEL LAG
Y1LABEL AUTOCORRELATION
XTIC OFFSET 2 0
AUTOCORRELATION PLOT Y
Date created: 3/7/2003
Last updated: 4/4/2003
Please email comments on this WWW page to
alan.heckert@nist.gov.
|
![+/- z(1-alpha/2)*SQRT((1/N)*(1 + 2*SUM[i=1 to k][Y(i)**2]))](eqns/autocon2.gif)
