Re: [Rd] partial correlation function for multivariate time series

From: Paul Gilbert <pgilbert_at_bank-banque-canada.ca>
Date: Tue, 11 Sep 2007 12:01:16 -0400

I think the reference for pacf is

@BOOK{GraNew77,

   author =    {Granger, C. W. J. and Newbold, Paul},
   title =     {Forecasting Economic Time Series},
   publisher = {Academic Press},
   year =      1977

   }

It certainly would not be Reisel's book, as parts of the code predate that by many years.

Paul Gilbert

Simone Giannerini wrote:
> Dear all,
>
> I found the following behaviour with pacf() in the multivariate case,
>
> set.seed(10)
> x <- rnorm(1000,sd=10000)
> y <- rnorm(1000,sd=1)
> pacf(ts(cbind(x,y)),plot=FALSE,lag.max=10)
>
> Partial autocorrelations of series 'cbind(x, y)', by lag
>
> , , x
>
> x y
> 0.047 ( 1) 0.000 ( -1)
> 0.011 ( 2) 0.000 ( -2)
> 0.005 ( 3) 0.000 ( -3)
> 0.013 ( 4) 0.000 ( -4)
> 0.050 ( 5) 0.000 ( -5)
> 0.034 ( 6) 0.000 ( -6)
> 0.026 ( 7) 0.000 ( -7)
> -0.029 ( 8) 0.000 ( -8)
> -0.010 ( 9) 0.000 ( -9)
> -0.013 ( 10) 0.000 (-10)
>
> , , y
>
> x y
> 374.052 ( 1) -0.045 ( 1)
> 66.717 ( 2) -0.024 ( 2)
> -535.810 ( 3) -0.031 ( 3)
> 120.802 ( 4) -0.020 ( 4)
> 142.824 ( 5) 0.004 ( 5)
> -211.711 ( 6) -0.010 ( 6)
> 201.856 ( 7) 0.058 ( 7)
> 286.079 ( 8) -0.035 ( 8)
> -134.057 ( 9) 0.032 ( 9)
> -18.200 ( 10) 0.019 ( 10)
>
> Since there are multiple ways of defining the pacf for multivariate time
> series
> (see e.g. G.C. Reinsel, Elements of multivariate time series analysis, II
> edition, Springer, section 3.3) and given that
> in ?pacf there is no reference to articles or books regarding its
> computation
> I do not know whether this behaviour is expected or it is a bug instead.
> In the first case could you provide a reference for it? In the second case I
> might file a bug report.
> Thank you for the great work you are doing for the scientific community.
>
> kind regards,
>
> Simone Giannerini
>
> WINDOWS
>
> platform i386-pc-mingw32
> arch i386
> os mingw32
> system i386, mingw32
> status
> major 2
> minor 5.1
> year 2007
> month 06
> day 27
> svn rev 42083
> language R
> version.string R version 2.5.1 (2007-06-27)
>
> LINUX
>
>

>>R.Version()

>
> $platform
> [1] "x86_64-unknown-linux-gnu"
>
> $arch
> [1] "x86_64"
>
> $os
> [1] "linux-gnu"
>
> $system
> [1] "x86_64, linux-gnu"
>
> $status
> [1] ""
>
> $major
> [1] "2"
>
> $minor
> [1] "5.1"
>
> $year
> [1] "2007"
>
> $month
> [1] "06"
>
> $day
> [1] "27"
>
> $`svn rev`
> [1] "42083"
>
> $language
> [1] "R"
>
> $version.string
> [1] "R version 2.5.1 (2007-06-27)"

La version fran├žaise suit le texte anglais.


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