R: Canonical Correlation Analysis of Scalar Time Series

canarm {timsac} | R Documentation

## Canonical Correlation Analysis of Scalar Time Series

### Description

Fit an ARMA model to stationary scalar time series through the analysis of canonical correlations between the future and past sets of observations.

### Usage

    canarm(y, lag=NULL, max.order=NULL, plot=TRUE)

### Arguments

`y` | a univariate time series.
`lag` | maximum lag. Default is 2*sqrt(n), where n is the length of the time series `y`.
`max.order` | upper limit of AR order and MA order, must be less than or equal to `lag`. Default is `lag`.
`plot` | logical. If TRUE (default) `parcor` is plotted.

### Details

The ARMA model of stationary scalar time series y(t) (t=1,...,n) is given by

y(t) - a(1)y(t-1) - ...- a(p)y(t-p) = u(t) - b(1)u(t-1) - ... - b(q)u(t-q),

where p is AR order and q is MA order.

### Value

`arinit` | AR coefficients of initial AR model fitting by the minimum AIC procedure.
`v` | innovation vector.
`aic` | AIC.
`aicmin` | minimum AIC.
`order.maice` | order of minimum AIC.
`parcor` | partial autocorrelation.
`nc` | total number of case.
`future` | number of present and future variables.
`past` | number of present and past variables.
`cweight` | future set canonical weight.
`canocoef` | canonical R.
`canocoef2` | R-squared.
`chisquar` | chi-square.
`ndf` | N.D.F.
`dic` | DIC.
`dicmin` | minimum DIC.
`order.dicmin` | order of minimum DIC.
`arcoef` | AR coefficients a(i) (i = 1,...,p).
`macoef` | MA coefficients b(i) (i = 1,...,q).

### References

H.Akaike, E.Arahata and T.Ozaki (1975) Computer Science Monograph, No.5, Timsac74, A Time Series Analysis and Control Program Package (1). The Institute of Statistical Mathematics.

### Examples

      # "arima.sim" is a function in "stats".
      # Note that the sign of MA coefficient is opposite from that in "timsac".
      y <- arima.sim(list(order=c(2,0,1), ar=c(0.64,-0.8), ma=c(-0.5)), n=1000)
      z <- canarm(y, max.order=30)
      z$arcoef
      z$macoef

[Package timsac version 1.3.5 Index]