Modeling and Multivariate Methods - SAS

Chapter 14 Performing Time Series Analysis 357
Time Series Commands
AR Coefficients
The AR Coefficients command alternately displays or hides the graph of the least squares estimates of the
autoregressive (AR) coefficients. The definition of these coefficients is given below. These coefficients
approximate those that you would obtain from fitting a high-order, purely autoregressive model. The
right-hand graph in Figure 14.4 shows the AR coefficients for the Seriesg data.
Figure 14.4 Variogram Graph (left) and AR Coefficient Graph (right)
Spectral Density
The Spectral Density command alternately displays or hides the graphs of the spectral density as a function
of period and frequency (Figure 14.5).
The least squares estimates of the coefficients of the Fourier series
and
N
2
a t
= --- y
N
t
cos( 2πf i
t)
i = 1
N
2
b t
= --- y
N t
sin( 2πf i
t)
i = 1