Time Series Analysis

Transcription

1 Time Series Analysis Informatics and Mathematical Modelling Technical University of Denmark DK-2800 Kgs. Lyngby 1

2 Outline of the lecture Chapter 9 Multivariate time series 2

3 Transfer function models with ARMA input Y t = ω(b) δ(b) Bb X t + θ ε(b) ϕ ε (B) ε t X t = θ η(b) ϕ η (B) η t we require {ε t } and {η t } to be mutually uncorrelated. 3

4 Transfer function models with ARMA input From the above we get Y t = ω(b) δ(b) Bb X t + θ ε(b) ϕ ε (B) ε t X t = θ η(b) ϕ η (B) η t δ(b)ϕ ε (B)Y t ϕ η (B)X t = ϕ ε (B)ω(B)B b X t + δ(b)θ ε (B)ε t = θ η (B)η t The term including X t on the RHS is moved to the LHS 3

5 Transfer function models with ARMA input Y t = ω(b) δ(b) Bb X t + θ ε(b) ϕ ε (B) ε t X t = θ η(b) ϕ η (B) η t δ(b)ϕ ε (B)Y t ϕ ε (B)ω(B)B b X t ϕ η (B)X t = δ(b)θ ε (B)ε t = θ η (B)η t Which can be written in matrix notation 3

6 Transfer function models with ARMA input Y t = ω(b) δ(b) Bb X t + θ ε(b) ϕ ε (B) ε t X t = θ η(b) ϕ η (B) η t [ δ(b)ϕε (B) ϕ ε (B)ω(B)B b 0 ϕ η (B) [ Yt X t = [ δ(b)θε (B) 0 0 θ η (B) [ εt η t 3

7 Transfer function models with ARMA input Y t = ω(b) δ(b) Bb X t + θ ε(b) ϕ ε (B) ε t X t = θ η(b) ϕ η (B) η t [ δ(b)ϕε (B) ϕ ε (B)ω(B)B b 0 ϕ η (B) [ Yt X t = [ δ(b)θε (B) 0 0 θ η (B) [ εt η t For multivariate ARMA-models we replace the zeroes by polynomials in B, allow non-zero correlation between ε t and η t, and generalize to more dimensions 3

8 Multivariate ARMA models The model can be written φ(b)(y t c) = θ(b)ǫ t The individual time series may have been transformed and differenced The variance-covariance matrix of the multivariate white noise process {ǫ t } is denoted Σ. The matrices φ(b) and θ(b) has elements which are polynomials in the backshift operator The diagonal elements has leading terms of unity The off-diagonal elements have leading terms of zero (i.e. they normally start in B) 4

9 Air pollution in cities NO and NO 2 [ X1,t X 2,t = [ [ X1,t 1 X 2,t 1 + [ ξ1,t ξ 2,t Σ = [ Or X 1,t 0.9X 1,t + 0.1X 2,t 1 = ξ 1,t 0.4X 1,t 1 + X 2,t 0.8X 2,t 1 = ξ 2,t the LHS can be written using a matrix for which the elements are polynomials i B 5

10 Air pollution in cities NO and NO 2 [ X1,t X 2,t = [ [ X1,t 1 X 2,t 1 + [ ξ1,t ξ 2,t Σ = [ Formulation using the backshift operator: [ 1 0.9B 0.1B 0.4B 1 0.8B X t = ξ t or φ(b)x t = ξ t 5

11 Air pollution in cities NO and NO 2 [ X1,t X 2,t = [ [ X1,t 1 X 2,t 1 + [ ξ1,t ξ 2,t Σ = [ Formulation using the backshift operator: [ 1 0.9B 0.1B 0.4B 1 0.8B X t = ξ t or φ(b)x t = ξ t Alternative formulation: [ X t X t 1 = ξ t or X t φ 1 X t 1 = ξ t 5

12 Stationarity and Invertability The multivariate ARMA process φ(b)(y t c) = θ(b)ǫ t is stationary if is invertible if det(φ(z 1 )) = 0 z < 1 det(θ(z 1 )) = 0 z < 1 6

13 Two formulations (centered data) Matrices with polynomials in B as elements: φ(b)y t = θ(b)ǫ t Without B, but with matrices as coefficients: Y t φ 1 Y t 1... φ p Y t p = ǫ t θ 1 ǫ t 1... θ q ǫ t q 7

14 Auto Covariance Matrix Functions Γ k = E[(Y t k µ Y )(Y t µ Y ) T = Γ T k Example for bivariate case Y t = (Y 1,t Y 2,t ) T : Γ k = [ γ11 (k) γ 12 (k) γ 21 (k) γ 22 (k) = [ γ11 (k) γ 12 (k) γ 12 ( k) γ 22 (k) And therefore we will plot autocovariance or autocorrelation functions for k = 0,1,2,... and one of each pair of cross-covariance or cross-correlation functions for k = 0, ±1, ±2,... 8

15 The Theoretical Autocovariance Matrix Functions Using the matrix coefficients φ 1,...,φ p and θ 1,...,θ q, together with Σ, the theoretical Γ k can be calculated: Pure Autoregressive Models: Γ k is found from a multivariate version of Theorem 5.10 in the book, which leads to the Yule-Walker equations Pure Moving Average Models: Γ k is found from a multivariate version of (5.65) in the book Autoregressive Moving Average Models: Γ k is found multivariate versions of (5.100) and (5.101) in the book Examples can be found in the book note the VAR(1)! 9

16 Identification using Autocovariance Matrix Functions Sample Correlation Matrix Function; R k near zero for pure moving average processes of order q when k > q Sample Partial Correlation Matrix Function; S k near zero for pure autoregressive processes of order p when k > p Sample q-conditioned Partial Correlation Matrix Function; S k (q) near zero for autoregressive moving average processes of order (p,q) when k > p can be used for univariate processes also. 10

17 Identification using (multivariate) prewhitening Fit univariate models to each individual series Investigate the residuals as a multivariate time series The cross correlations can then be compared with ±2/ N This is not the same form of prewhitening as in Chapter 8 The multivariate model φ(b)y t = θ(b)ǫ t is equivalent to diag(det(φ(b)))y t = adj(φ(b))θ(b)ǫ t Therefore the corresponding univariate models will have much higher order, so although this approach is often used in the literature: Don t use this approach! 11

18 Example Muskrat and Mink skins traded 12

19 Raw data (maybe not exactly as in the paper) Skins traded Muskrat Mink

20 Stationary and Gaussian data Skins traded log transformed and muskrat data differenced Muskrat Mink

21 w1 SACF w1 and w2 15 ACF w2 and w1 w2 ACF Lag Lag w1 SPACF w1 and w Partial ACF w2 and w1 w Lag Lag Partial ACF

22 Yule-Walker Estimates > fit.ar3yw <- ar(mmdata.tr, order=3) > fit.ar3yw$ar[1,, # lag 1 [,1 [,2 w1 [1, [2, > fit.ar3yw$ar[2,, # lag 2 [,1 [,2 [1, w2 and w1 [2, > fit.ar3yw$ar[3,, # lag 3 [,1 [,2 [1, [2, Lag > acf(fit.ar3yw$resid) ACF ACF Multivariate Series : fit.ar3yw$resid w1 and w w Lag 16

23 Maximum likelihood estimates > ## Load module > module(finmetrics) S+FinMetrics Version for Linux : 2005 > ## Means: > colmeans(mmdata.tr) w1 w > ## Center non-differences data: > tmp.dat <- mmdata.tr > tmp.dat[,2 <- tmp.dat[,2 - mean(tmp.dat[,2) > colmeans(tmp.dat) w1 w e-15 17

24 Maximum likelihood estimates (cont nd) > mgarch( -1 + ar(3), dvec(0,0), series=tmp.dat, armatype="full")...[deleted... Convergence reached. Call: mgarch(formula.mean = -1 + ar(3), formula.var = dvec(0, 0), series = tmp.dat, armatype = "full") Mean Equation: -1 + ar(3) Conditional Variance Equation: dvec(0, 0) Coefficients: AR(1; 1, 1)

25 Maximum likelihood estimates (cont nd) Coefficients: AR(1; 1, 1) AR(1; 2, 1) AR(1; 1, 2) AR(1; 2, 2) AR(2; 1, 1) AR(2; 2, 1) AR(2; 1, 2) AR(2; 2, 2) AR(3; 1, 1) AR(3; 2, 1) AR(3; 1, 2) AR(3; 2, 2) A(1, 1) A(2, 1) A(2, 2)

26 Model Validation For the individual residual series; all the methods from Chapter 6 in the book with the extension for the cross correlation as mentioned in Chapter 8 in the book 20

27 Forecasting The model: Y t+l = φ 1 Y t+l φ p Y t+l p +ǫ t+l θ 1 ǫ t+l 1... θ q ǫ t+l q 1-step: Ŷ t+1 t = φ 1 Y t φ p Y t+1 p +0 θ 1 ǫ t θ q ǫ t+1 q 2-step: Ŷ t+2 t = φ 1 Ŷ t+2 1 t φ p Y t+2 p + 0 θ θ q ǫ t+2 q and so on... in S-PLUS: > predict(fit.ml, 10) # fit.ml from mgarch() above However, this does not calculate the variance-covariance matrix of the forecast errors use the hint given in the text book. 21