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com/TSDL/sales/ and Comprises of detailed analysis interms of autocorrelation,partial autocorrelation,ARIMA , anaylsis of of p-value in order to determine the seasonal componenet in the data and to use procedures in order to ensure that the data becomes stationary or not and what relevant technique needs to be applied.The data is from of Industry sales for printing and writing paper (in Thousands of french francs). January 1963 December 1972. Source: Makridakis, Wheelwright and Hyndman (1998)

**Time Series Analysis
**

Usman Younis Shams Amin Fawad Hassan Hamza Tahir Azam Qayyum

April 14

2011

The data is monthly seasonal as it repeats itself after 12 months as shown by the time series plot and sketching a line from the first point to the last point shows a generally rising trend as well to some extent.com/TSDL/sales/. A time series plot was constructed to check the seasonality in the data. . January 1963 December 1972.(c1 represents Sales of printing and writing paper) Time Series Plot of C1 1100 1000 900 800 700 C1 600 500 400 300 200 1 12 24 36 48 60 Index 72 84 96 108 120 The horizontal axis represent the number of months while the vertical axis show the monthly sales figures. Source: Makridakis.T TIME SERIES PROJECT The data test is of Industry sales for printing and writing paper (in Thousands of french francs). Wheelwright and Hyndman (1998) and was taken from the link http://robjhyndman.

2 0.0.0 -0. .0.0 2 4 10 12 14 L ag 1 1 20 22 24 2 Then partial autocorrelation of the data was checked (non-seasonal data): ¡ £ ¢ ¤ ¡ £ ¢ ¤ ¡ ¢ 2 4 10 12 14 1 Lag 1 20 22 24 2 2 £ ¡ ¢ .1 .4 0.Autocorrelation Function for C1 ( w ith 5 % s ig n ific a n c e lim its fo r th e a u to c o r r e la tio n s ) 1 . -0.0.4 -0.0 0. ¤ £ £ ¤ .4 .2 . ¢ ¡ 0 0. The red dotted lines represent 95% confidence interval.0 . 0.2 0. The data is monthly seasonal as is repeated after 12 months and is not stationary as the autocorrelation does not drops to zero at any of the first four lags.2 -0. Au co to rrelation 0. -1.0 The figure above shows the autocorrelation of the data. Y-axis show the autocorrelations while x-axis represent the number of lags.0 0. Au correlatio to n 0.0. ARIMA: Now the seasonality has to be removed from the data: Difference at lag 12: A to rrelatio Fu ctio fo C u co n n n r 2 (with 5% significance limits for the autocorrelations) 1.4 0.

9 21 0.45 -6.639 SE Coef 0. after differencing 108 Residuals: SS = 179827 (backforecasts excluded) MS = 1713 DF = 105 Modified Box-Pierce (Ljung-Box) Chi-Square statistic Lag Chi-Square DF P-Value 12 14.8 -1.4 0.0.502 Actual Looking at the results above the P-value for AR(2) is less than 0. ) (2. 1 seasonal of order 12 Number of observations: Original series 120.6 0.5969 74.4 -0.000 Differencing: 0 regular.373 974.2 0.Partial Autocorrelation Function for C2 (with 5% significance limits for the partial autocorrelations) 1.00 18.6 9 0.1. ) is applied.585 Forecasts from period 120 95 Percent Limits Lower Upper 812.591 36 30. so ARIMA ( .0 33 0.3 45 0.0 -0. ¥ ¥ ¥ ¥ .0913 0.8 P rti A to o la o a al u c rre ti n 0.6798 -0.0)(2.0995 3. 1.0) Final Estimates of Parameters Type SAR 12 SAR 24 Constant Coef -0.2 -0.618 48 42.997 T -7.104 24 18.631 Period 121 Forecast 893. ARIMA (0.000 0.000 0.6 -0.67 P 0.0 0.05 which show that is significant while in the case if Chi-Square the P-values are greater than 5% which again show that the model is significant as a whole. .0 2 4 6 8 10 12 14 Lag 16 18 20 22 24 26 The above figs show that the autocorrelation is falling and the partial autocorrelation becomes stationary at lag 7.

6 -0.0 0.6 A to o l ti n u c rrea o 0. .8 -1.0 2 4 6 8 10 12 14 Lag 16 18 20 22 24 26 As autocorrelation at all the lags is in between the 95% confidence interval so this shows that the residuals are random.2 0.4 0. As all the conditions are satisfied that is the P-values are significant and the residuals are random so it can be concluded that the technique is suitable and provides accurate results.4 -0.8 0.0 -0.Now the randomness of the residuals is tested: Autocorrelation Function for RESI1 (with 5% significance limits for the autocorrelations) 1.2 -0.

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