Package smile.timeseries

Interface TimeSeries

public interface TimeSeries
Time series utility functions.

  • Method Summary

    Static Methods
    Modifier and Type
    Method
    Description
    static double
    acf(double[] x, int lag)
    Autocorrelation function.
    static double
    cov(double[] x, int lag)
    Autocovariance function.
    static double[]
    diff(double[] x, int lag)
    Returns the first-differencing of time series.
    static double[][]
    diff(double[] x, int lag, int differences)
    Returns the differencing of time series.
    static double
    pacf(double[] x, int lag)
    Partial autocorrelation function.

  • Method Details

    • diff

      static double[] diff(double[] x, int lag)
      Returns the first-differencing of time series. First-differencing a time series will remove a linear trend (i.e., differences=1). In addition, first-differencing a time series at a lag equal to the period will remove a seasonal trend (e.g., set lag=12 for monthly data).
      Parameters:
      x - time series
      lag - the lag at which to difference
      Returns:
      the first-differencing of time series.

    • diff

      static double[][] diff(double[] x, int lag, int differences)
      Returns the differencing of time series. First-differencing a time series will remove a linear trend (i.e., differences=1); twice-differencing will remove a quadratic trend (i.e., differences=2). In addition, first-differencing a time series at a lag equal to the period will remove a seasonal trend (e.g., set lag=12 for monthly data).
      Parameters:
      x - time series
      lag - the lag at which to difference
      differences - the order of differencing
      Returns:
      the differencing of time series.

    • cov

      static double cov(double[] x, int lag)
      Autocovariance function.
      Parameters:
      x - time series.
      lag - the lag.
      Returns:
      autocovariance.

    • acf

      static double acf(double[] x, int lag)
      Autocorrelation function.
      Parameters:
      x - time series.
      lag - the lag.
      Returns:
      autocorrelation.

    • pacf

      static double pacf(double[] x, int lag)
      Partial autocorrelation function. The partial autocorrelation function (PACF) gives the partial correlation of a stationary time series with its own lagged values, regressed the values of the time series at all shorter lags.
      Parameters:
      x - time series.
      lag - the lag.
      Returns:
      partial autocorrelation.