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- Lecture 20

You are on page 1of 18

Sunil

27 August 2017

Contents

1 Introduction 1

2 MA process 1

2.1 MA(1) process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

2.2 MA(2) Process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

2.3 MA(q) process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

3 AR Process 6

3.1 AR1 Process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

3.2 AR(2) process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

4 ARMA Process 16

1 Introduction

This tutorial examines the properties of stationary univariate models using simulated data. The functions

used to generate graphs are given in Graph.R script.You can load the function using source() function.

source("graphs.R")

2 MA process

The function arima.sim() is used to simulate the series from ARMA(p,q) process of different order. ARMAacf()

gives the theoretical ACF and PACF. ARMAtoMA() gives the impulse response coefficients. I have used these

two functions to generate the graphs of ACF and IRF. See help for details.

Let us start with MA(1) process. The details of AR and MA coefficients need to be specified as arguments in

arima.sim(). The following codes first define AR and MA terms and them simulate the process.

library(grid)

library(gridExtra)

library(ggplot2)

set.seed(123)

ma1 <- 1.8 # define the MA coefficients

ar1 <- 0 # define the AR coefficient

mu <- 2

model1 <- list(ma = ma1, ar = ar1)

s11 <- mu + arima.sim(model = model1, n = 250)

1

# ANother MA model with coeffient -0.8

ma2 <- -0.8

ar1 <- 0

model2 <- list(ma = ma2, ar = 0)

s12 <- mu + arima.sim(model = model2, n = 250)

Two MA(1) process is simulated, one with 0.8 and other with 0.8 as MA coefficients. Correlogram of these

series are given below.

library(latex2exp)

# ts.graph1() is from graph.R. It plots the time series

gs11 <- ts.graph1(s11) + ggtitle(TeX("$Y_t=2+0.8 \\epsilon_{t-1}+\\epsilon_{t}$"))

gs12 <- ts.graph1(s12) + ggtitle(TeX("$Y_t=2-0.8 \\epsilon_{t-1}+\\epsilon_{t}$"))

grid.arrange(gs11, gs12, acf.graph1(ar1, ma1, 15), acf.graph1(ar1,

ma2, 15), pacf.graph1(ar1, ma1, 15), pacf.graph1(ar1, ma2,

15), ncol = 2)

Yt=2+0.8t1 + t Yt=20.8t1 + t

7.5

5.0 5.0

2.5 2.5

0.0 0.0

2.5

0 50 100 150 200 250 0 50 100 150 200 250

Periods Periods

0.4 0.0

0.1

0.3

ACF

ACF

0.2

0.2

0.3

0.1 0.4

0.0 0.5

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

0.4 0.0

0.1

PACF

PACF

0.2 0.2

0.0 0.3

0.4

0.2 0.5

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

The plot of Yt shows that the series is distributed around its mean.

ACF of MA(1) with 0.8 is positive and cuts off at lag one. PACF oscillates between negative and

positive values (Why?).

ACF of MA(1) with -0.8 is negative and cuts off at lag one. All the PAC are negative and PACF decays

to zero(Why?)

Both models are invertible. You can get the numerical values of ACF using ARMAacf(). See help for

details. (I have customized the graphs using own function sgiven in the sript attached, but you can plot

IRF and ACF directly)

2

2.2 MA(2) Process

Higher order MA and AR can be specified using c(). The coefficients needs to be given in order.

set.seed(123)

ma21 <- c(1, 0.7) # MA coefficient

ar1 <- 0 # AR coefficient

mu <- 2

model21 <- list(ma = ma21, ar = ar1)

s21 <- mu + arima.sim(model = model21, n = 250)

ma22 <- c(-1.2, 0.25)

model22 <- list(ma = ma22, ar = ar1)

s22 <- mu + arima.sim(model = model22, n = 250)

We have simulated two invertible MA(2) process i.e Y1t = 2 + 1t1 + 0.7t2 + t and Y2t = 2 1.2t1 +

0.25t2 + t . Remember for invertibility the roots of the lag polynomial should be greater than |1| or its

inverse should be less than |1|.

2.2.1 Invertibility

Y1t = 2 + 1t1 + 0.7t2 + t

The roots of lag polynomial(1 + 1L + 0.7L2 ) are:

polyroot(c(1, 1, 0.7))

Roots are complex conjugates. Absolute value of these roots are :

abs(polyroot(c(1, 1, 0.7)))

Since the roots are greater than |1|, Yt is invertible. The inverse of these roots are given below.

(polyroot(c(1, 1, 0.7)))^{

-1

}

abs((polyroot(c(1, 1, 0.7)))^-1)

MA(2) process can also be written in terms of t as follows:

t = 1t1 0.7t2 + Yt

t 1 0.7 t1 Y

= + t

t1 1 0 t2 0

t = Bt1 + Yt

The inverse of the root of MA lag polynomial is nothing but the eigen values of B matrix. Remember that

for invertibility the eigen values should be less than |1|.

3

(aa <- rbind(-ma21, c(1, 0)))

## [,1] [,2]

## [1,] -1 -0.7

## [2,] 1 0.0

eigen(aa)$values

abs(eigen(aa)$values)

Second Process:

Y2t = 2 1.2t1 + 0.25t2 + t

The roots of lag polynomial(1 + 1L + 0.7L2 ) are

polyroot(c(1, -1.2, 0.25))

abs(polyroot(c(1, -1.2, 0.25)))

Since the roots are greater than |1|, Yt is invertible.\ In vector form t = 1.2t1 + 0.25t2 + Yt can be

written as:

1.2 0.25 t1

t Y

= + t

t1 1 0 t2 0

Eigen Values are:

(aa <- rbind(-ma22, c(1, 0)))

## [,1] [,2]

## [1,] 1.2 -0.25

## [2,] 1.0 0.00

eigen(aa)$values

# abs(eigen(aa)$values)

Plots of both series with ACF and PACF are given below. The first two ACF are non zero for both the

process. The structure of PACF will be determined by the nature of roots.

tgs21 <- TeX("$Y_t=2+1\\epsilon_{t-1}+0.7\\epsilon_{t-2}+\\epsilon_{t}$")

gs21 <- ts.graph1(s21) + ggtitle(tgs21)

tgs22 <- TeX("$Y_t=2-1.2\\epsilon_{t-1}+0.25\\epsilon_{t-2}+\\epsilon_{t}$")

gs22 <- ts.graph1(s22) + ggtitle(tgs22)

ma22, 15), pacf.graph1(ar1, ma21, 15), pacf.graph1(ar1, ma22,

15), ncol = 2)

4

Yt=2+1t1+0.7t2 + t Yt=21.2t1+0.25t2 + t

7.5

4 5.0

2 2.5

0 0.0

2 2.5

0 50 100 150 200 250 0 50 100 150 200 250

Periods Periods

0.6 0.0

ACF

ACF

0.4 0.2

0.2 0.4

0.0 0.6

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

0.0

0.50

PACF

0.00 0.4

0.25

0.6

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

What happens to PACF if MA(2) is not invertible?

You can easily verify the invertibility of process by checking the eigen values or roots of the MA lag polynomial.\

Roots of the MA lag polynomial are:

abs(polyroot(c(1, 0.4, 0.2, 0.15, -0.55)))

Eigen values of B matrix are

ma41 <- c(0.4, 0.2, 0.15, -0.55)

(aa <- rbind(-ma41, c(1, 0, 0, 0), c(0, 1, 0, 0), c(0, 0, 1,

0)))

## [1,] -0.4 -0.2 -0.15 0.55

## [2,] 1.0 0.0 0.00 0.00

## [3,] 0.0 1.0 0.00 0.00

## [4,] 0.0 0.0 1.00 0.00

eigen(aa)$values

5

## [1] -0.9652866+0.0000000i -0.0608795+0.9086315i -0.0608795-0.9086315i

## [4] 0.6870456+0.0000000i

abs(eigen(aa)$values)

25), ncol = 2)

0.2 0.2

PACF

ACF

0.0 0.0

0.2 0.2

1 5 9 13 1 5 9 13 17 21 25

Period(lags) Period(lags)

The shape of PACF depends on eigen values and the behavior of PACF will be dominated by the nature of

prominent eigen value as lags increase(However it is difficult to predict the shape if all the roots have same

magnitude as in this example). The prominent root of the MA(4) process is real and negative, hence the

PACF oscillates between negative and positive values and this pattern becomes clear as lags increases.

In general:

ACF can be used to identify order of an MA process

PACF of an invertible series can exhibit damned decay or cycles depending on the roots of MA lag

polynomial.

3 AR Process

Three AR(1) models are simulated with 0.8, -0.7 and 0.4 auto regressive coefficient. The impulse responses of

AR models are also plotted in this section. Use ARMAtoMA() to get the numerical values of IRF.

set.seed(123)

ma1 <- 0 # MA coefficient

ar1 <- 0.8 # AR coefficient

mu <- 2

model1 <- list(ma = ma1, ar = ar1)

a11 <- mu + arima.sim(model = model1, n = 250)

# ANother AR process with coeffient 0.4

6

ar2 <- 0.4

model2 <- list(ma = ma1, ar = ar2)

a12 <- mu + arima.sim(model = model2, n = 250)

ga12 <- ts.graph1(a12) + ggtitle(TeX("$Y_t=1.2+0.4 Y_{t-1}+\\epsilon_{t}$"))

grid.arrange(ga11, ga12, acf.graph1(ar1, ma1, 15), acf.graph1(ar2,

ma1, 15), pacf.graph1(ar1, ma1, 15), pacf.graph1(ar2, ma1,

15), ncol = 2)

Yt=0.4+0.8Yt1 + t Yt=1.2+0.4Yt1 + t

6 4

4 3

2 2

0 1

2 0

1

0 50 100 150 200 250 0 50 100 150 200 250

Periods Periods

0.8 0.4

0.6 0.3

ACF

ACF

0.4 0.2

0.2 0.1

0.0 0.0

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

0.8 0.4

0.6 0.3

PACF

PACF

0.4 0.2

0.2 0.1

0.0 0.0

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

Unconditional mean is 2 for all the series

Convergence of ACF to zero is slower for AR(1) process with 0.8 coefficient.

The ACF will oscillate between positive and negative values if auto regressive coefficient is negative.

See the graph below.

AR Process can be identified using PACF. For AR(1) PACF cut off at lag one.

# Process with negative autoregrssive coefficient

model3 <- list(ma = ma1, ar = ar3)

a13 <- mu + arima.sim(model = model3, n = 250)

ga13 <- ts.graph1(a13) + ggtitle(TeX("$Y_t=3.4-0.7 Y_{t-1}+\\epsilon_{t}$"))

7

grid.arrange(ga13, acf.graph1(ar3, ma1, 15), ncol = 2)

Yt=3.40.7Yt1 + t 0.50

0.25

ACF

5.0 0.00

2.5 0.25

0.0 0.50

2.5 0.75

0 50 100 150 200 250 1 5 9 13

Periods Period(lags)

All the IRFs are generated by giving one unit shock at time period 0(red dot in the plot).

For a co-variance stationary process the IRF should approach zero as lag increases and plots of IRF

behaves as expected.

The cumulative IRF shows the total effect,as expected it also converges to a constant.

grid.arrange(irf.graph1(ar1, ma1, 20), cirf.graph1(ar1, ma1,

20), ncol = 2)

4

Accumulated IR

Shock

0.9 3

0.6 2

IR

1

0.3

0

0.0 1 5 9 13 17

1 5 9 13 17 Period after the shock

grid.arrange(irf.graph1(ar2, ma1, 20), cirf.graph1(ar2, ma1,

20), ncol = 2)

Accumulated IR

Shock

0.6

0.9

0.4

0.6

IR

0.2

0.3

0.0

0.0 1 5 9 13 17

1 5 9 13 17 Period after the shock

8

Model-3:IRF of Yt = 3.4 0.7Yt1 + t

grid.arrange(irf.graph1(ar3, ma1, 20), cirf.graph1(ar3, ma1,

20), ncol = 2)

0.0

Accumulated IR

1.0 Shock

0.2

0.5

IR

0.4

0.0

0.6

0.5

1 5 9 13 17

1 5 9 13 17 Period after the shock

1. Yt = 0.5Yt1 + 0.25Yt2 + t

2. Yt = 1Yt1 0.25Yt2 + t

3. Yt = 1.5Yt1 0.75Yt2 + t

4. Yt = 0.6Yt1 + 0.2Yt2 + t

set.seed(123)

ma1 <- 0 # MA coefficient

ar21 <- c(0.5, 0.25) # AR coefficient

mu <- 0

model21 <- list(ma = ma1, ar = ar21)

a21 <- mu + arima.sim(model = model21, n = 250)

# ANother MA model with coeffients 1 and -0.25

ar22 <- c(1, -0.25)

model22 <- list(ar = ar22, ma = ma1)

a22 <- mu + arima.sim(model = model22, n = 250)

ar23 <- c(1.5, -0.75)

model23 <- list(ma = ma1, ar = ar23)

a23 <- mu + arima.sim(model = model23, n = 250)

ar24 <- c(-0.6, 0.2)

model24 <- list(ma = ma1, ar = ar24)

a24 <- mu + arima.sim(model = model24, n = 250)

ga23 <- ts.graph1(a23) + ggtitle(TeX("$Y_t=1.5 Y_{t-1}-0.75Y_{t-2}\\epsilon_{t}$"))

ga21 <- ts.graph1(a21) + ggtitle(TeX("$Y_t=0.5 Y_{t-1}+0.25Y_{t-2}\\epsilon_{t}$"))

ga22 <- ts.graph1(a22) + ggtitle(TeX("$Y_t=1 Y_{t-1}-0.25Y_{t-2}\\epsilon_{t}$"))

grid.arrange(ga21, ga22, ga23, ga24, ncol = 2)

9

Yt=0.5Yt1+0.25Yt2t Yt=1Yt10.25Yt2t

4

2

2

0

0

2 2

Periods Periods

Yt=1.5Yt10.75Yt2t Yt=0.6Yt1+0.2Yt2t

4 2.5

0 0.0

4 2.5

8 5.0

0 50 100 150 200 250 0 50 100 150 200 250

Periods Periods

3.2.1 Stationarity

of this model using the roots of the AR lag polynomial or the eigen values of F

1 2

matrix,where F = form the matrix form of AR(2) Zt = FZt1 + vt . We will check the stationarity

1 0

using eigen values. You may check the roots of AR lag polynomial using polyroot(). Eigen values of all the

four models are given below.

# F matrix

(ar21F <- rbind(ar21, c(1, 0)))

## [,1] [,2]

## ar21 0.5 0.25

## 1.0 0.00

# Eigen Values

# Abs of eigen values

abs(ar21r)

10

Model2Yt = 1Yt1 0.25Yt2 + t

# F matrix

(ar22F <- rbind(ar22, c(1, 0)))

## [,1] [,2]

## ar22 1 -0.25

## 1 0.00

# Eigen Values

# Abs of eigen values

abs(ar22r)

# F matrix

(ar23F <- rbind(ar23, c(1, 0)))

## [,1] [,2]

## ar23 1.5 -0.75

## 1.0 0.00

# Eigen Values

# Abs of eigen values

abs(ar23r)

# F matrix

(ar24F <- rbind(ar24, c(1, 0)))

## [,1] [,2]

## ar24 -0.6 0.2

## 1.0 0.0

# Eigen Values

# Abs of eigen values

abs(ar24r)

All the series we considered here are stationary since the eigen values as less than |1|.

11

3.2.2 IRF and ACF

As we have discussed already any co-variance stationary AR(P) process say (L)Yt = t can be written as

M A() process,i.e., Yt = (L)t . The coefficients in (L) = 1 + 1 L + 2 L2 + . . . are known as Impulse

response function. The nature of IRF (and ACF) is determined by the roots of (L). For an AR(2) process:

Yt Yt+j

j = = = c1 j1 + c2 j2

tj t

and

1 2

c1 = , c1 =

1 2 2 1

We can also express the impulse response in terms of AR coefficients. Consider: (L)Yt = (L)(L)t = t

Thus, (L)(L) = 1. Now the two polynomials (L)(L) and 1 (the latter of order 0) are identical if and

only if the coefficients of each power are identical.

For AR(2) process (1 1 L 2 L2 )(0 + 1 L + 2 L2 + ...) = 1 Matching powers of L yields:

0 = 1

1 1 0 = 0 1 = 1

2 0 1 1 + 2 = 0 2 = 2 + 21

...

We will consider each model separately and analyse its IRF and ACF

Model1:Yt = 0.5Yt1 + 0.25Yt2 + t Both the Eigen values of this model are real with 1 = 0.81 and

2 = 0.31:

ar21r

We have already derived the expression for IRF in terms of eigen values. Using that result we have

j = c1 j1 + c2 j2 . Since the prominent eigen value is positive and less than |1| we can expect the IRF to

decay towards zero as lag increases. The above expression for j th IRF can also be rearranged using the values

of c1 and c2 as follows:

j+1 j+1

j = 1 2

1 2

Similarly the ACF also can be expressed as a function of eigen values since the ACF of AR(2) is a second

j = A1 j1 + A2 j2

(1 22 )j+1 (1 21 )j+1

j = 1 2

, forj 0

(1 2 )(1 + 1 2 )

Like IRF . ACF also decays towards zero. I hope the following graphs makes these points clear.

12

grid.arrange(acf.graph1(ar21, ma1, 15), pacf.graph1(ar21, ma1,

15), irf.graph1(ar21, ma1, 20), cirf.graph1(ar21, ma1, 20),

ncol = 2)

0.6 0.6

PACF

0.4 0.4

ACF

0.2 0.2

0.0 0.0

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

Shock 3

0.9 Accumulated IR

2

0.6

IR

1

0.3

0

0.0 1 5 9 13 17

1 5 9 13 17 Period after the shock

Model2:Yt = 1Yt1 0.25Yt2 + t This model has repeated real eigen values.

ar22r

The root of the process is given as 2 .The

1

expressions of j and j for this process can be expressed as

follows.

j = (1 + j)j1

j

1 + 2

1

j = 1 + j , forj 0

1 2 2

Model two exhibits more or less similar structure compared to model1.

grid.arrange(acf.graph1(ar22, ma1, 15), pacf.graph1(ar22, ma1,

15), irf.graph1(ar22, ma1, 20), cirf.graph1(ar22, ma1, 20),

ncol = 2)

13

0.8

0.6

0.6

PACF

ACF

0.4 0.3

0.2 0.0

0.0

0.3

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

Shock 3

Accumulated IR

0.9

2

0.6

IR

1

0.3

0

0.0 1 5 9 13 17

1 5 9 13 17 Period after the shock

Model3:Yt = 1.5Yt1 0.75Yt2 + t Eigen Values of this process is complex and the IRF and ACF can

have cycles.

ar23r

where the real part (a) is 0.75 and the imaginary part (bi) is $0.43i. The expression for IRF in this case is

Where R is the amplitude (distance from line to the peak (or to the trough) of the cycle),R = (a2 + b2 ):

p

R <- abs(ar23r)

(R <- R[1])

## [1] 0.8660254

a <- Re(ar23r)[1]

b <- Im(ar23r)[1]

cos() = a

R = 1

2 (2 )

(cos_theta <- a/R)

## [1] 0.8660254

Now the can be easily computed as follows

14

(theta1 <- acos(a/R))

## [1] 0.5235988

Using this the period of cycles (from one peak to another peak) can be computed as follows:

(period_cy <- (2 * pi)/theta1)

## [1] 12

You may verify this in the graphs below. The above expression for j can also be written as

j = Rj

sin()

sin(j + )

j = R j

sin()

can be obtained from tan() = 12

1+2

grid.arrange(acf.graph1(ar23, ma1, 15), pacf.graph1(ar23, ma1,

15), irf.graph1(ar23, ma1, 20), cirf.graph1(ar23, ma1, 20),

ncol = 2)

0.5

0.5

PACF

ACF

0.0

0.0

0.5

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

1.5

4

Accumulated IR

Shock

1.0

3

0.5

IR

0.0 1

0

0.5

1 5 9 13 17

1 5 9 13 17 Period after the shock

Model4:Yt = 0.6Yt1 + 0.2Yt2 + t Prominent eigen value of this series is negative and hence the ACF

and IRF will oscillate. Eigen values are real and the expressions given for Model1 can be used to compute

ACF and IRF.

15

ar23r

grid.arrange(acf.graph1(ar24, ma1, 15), pacf.graph1(ar24, ma1,

15), irf.graph1(ar24, ma1, 20), cirf.graph1(ar24, ma1, 20),

ncol = 2)

0.4 0.00

PACF

ACF

0.0 0.25

0.4 0.50

0.8 0.75

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

Shock 0.0

1.0

Accumulated IR

0.2

0.5

IR

0.4

0.0

0.6

0.5

1 5 9 13 17

1 5 9 13 17 Period after the shock

4 ARMA Process

An ARMA model is simulated as follows: Yt = 0.6Yt1 + 0.2Yt2 1.20t1 + 0.25t2 + t

The invertibility of ARMA process depends on roots of MA lag polynomial and stationarity on AR lag

polynomial. I am using the AR and MA coefficients that we used to simulate AR and MA process earlier.

You may cross check.

set.seed(123)

ma11.1 <- ma22 # define the MA coefficients

ar11.1 <- ar24 # define the AR coefficient

mu <- 0

model1 <- list(ma = ma11.1, ar = ar11.1)

s11.1 <- mu + arima.sim(model = model1, n = 250)

16

acf.graph1(ar11.1, ma11.1, 15), pacf.graph1(ar11.1, ma11.1,

15), ncol = 2)

4 1 Shock

0 0

IR

4

1

Periods 1 5 9 13 17

0.00

0.5

0.25

PACF

ACF

0.0

0.50

0.5

0.75

1.0

1 5 9 13 1 5 9 13

Period(lags) Period(lags)

PACF of an ARMA(p,q) process will behave like a PACF of MA(q) process after lag q, and ACF like AR(p)

process after lag p.

1. Evaluate the mean, and covariance function for each of the following process. In each case determine

whether or not the process is stationary given t GW N (0, 2 )

(a) Yt = 0 + 1 t + t

(b) Xt = Yt (Yt is from part a above )

(c) Zt = 0 + tt

(d) Wt = Zt (Zt is from part c above )

(e) V3t = t t1

2. Which of the following process are covariance stationary? Compute the roots of Lag operators and verify

that it is the inverse of the eigenvalues of F matrix. The innovations are defined as t GW N (0, 1).

(a) Yt = 3 0.30Yt1 + 0.04Yt2 + t

(b) Yt = 5 + 3.10Yt1 0.03Yt2 + t

(c) Yt = 5 + 0.5Yt1 0.8Yt2 + t

17

3. Is the following MA(2) processes invertible

(a) Yt = 1 + 2.4t1 + 0.8t2 + t

(b) Yt = 5 .9t1 0.18t2 + t

(c) Yt = 0.5t1 0.4t2 + t

4. Compute the first three j , jj and j for the stationary /invertible process given in question 2 and 3

5. Generate simulated data for the stationary /invertible process given in question 2 and 3. Plots its ACF

and IRF.

6. Given (1 1 L 2 L2 )Yt = t , show that for a covariance stationary process 1 + 2 < 1, 2 1 < 1

and |2 | < 1 if roots are real. Also show that for a covariance stationary process 1 < |2|.

18

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