Modeling and Multivariate Methods - SAS

356 Performing Time Series Analysis Chapter 14
Time Series Commands
Partial Autocorrelation
The Partial Autocorrelation command alternately hides or displays the graph of the sample partial
autocorrelations. The plot on the right in Figure 14.3 shows the partial autocorrelation function for the
Seriesg data. The solid blue lines represent ± 2 standard errors for approximate 95% confidence limits,
where the standard error is computed:
SE k
=
1
------
n
for all k
Figure 14.3 Autocorrelation and Partial Correlation Plots
Variogram
The Variogram command alternately displays or hides the graph of the variogram. The variogram measures
the variance of the differences of points k lags apart and compares it to that for points one lag apart. The
variogram is computed from the autocorrelations as
1 – r k + 1
V k
= ---------------------
1 – r 1
where r k is the autocorrelation at lag k. The plot on the left in Figure 14.4 shows the Variogram graph for
the Seriesg data.