The TIMESERIES Procedure |
CORR Statement |
A CORR statement can be used with the TIMESERIES procedure to specify options related to time domain analysis of the accumulated time series. Only one CORR statement is allowed.
The following time domain statistics are available:
time lag
number of variance products
autocovariances
autocorrelations
autocorrelation standard errors
two standard errors beyond autocorrelations
normalized autocorrelations
autocorrelation probabilities
autocorrelation log probabilities
partial autocorrelations
partial autocorrelation standard errors
two standard errors beyond partial autocorrelations
partial normalized autocorrelations
partial autocorrelation probabilities
partial autocorrelation log probabilities
inverse autocorrelations
inverse autocorrelation standard errors
two standard errors beyond inverse autocorrelations
normalized inverse autocorrelations
inverse autocorrelation probabilities
inverse autocorrelation log probabilities
white noise test statistics
white noise test probabilities
white noise test log probabilities
If none of the correlation statistics are specified, the default is as follows:
corr lag n acov acf acfstd pacf pacfstd iacf iacfstd wn wnprob;
The following options can be specified in the CORR statement following the slash (/):
specifies the number of lags to be stored in the OUTCORR= data set or to be plotted. The default is 24 or three times the length of the seasonal cycle, whichever is smaller. The LAGS= option takes precedence over the NLAG= option.
specifies the list of lags to be stored in OUTCORR= data set or to be plotted. The list of lags must be separated by spaces or commas. For example, LAGS=(1,3) specifies the first then third lag.
specifies the number of parameters used in the model that created the residual time series. The number of parameters determines the degrees of freedom associated with the Ljung-Box statistics. The default is NPARMS=0. This option is useful when analyzing the residuals of a time series model with the number of parameters specified by NPARMS=number option.
TRANSPOSE=YES specifies that the OUTCORR= data set is recorded with the lags as the column names instead of with the correlation statistics as the column names. The TRANSPOSE=NO option is useful for graphing the correlation results with SAS/GRAPH procedures. The TRANSPOSE=YES option is useful for analyzing the correlation results from other SAS procedures such as the CLUSTER procedure of SAS/STAT or SAS Enterprise Miner. The default is TRANSPOSE=NO.
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