Time Series Analysis and Examples |
The following statements compute the roots of characteristic function and generate simulated data.
proc iml; /* Nonstationary model */ sig = 100*i(2); phi = {0.6 0.8, 0.1 0.8}; call varmasim(yt,phi) sigma = sig n = 100 seed=1324; call vtsroot(root,phi); print root; print yt;
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Figure 10.32: Plot of Generated Nonstationary Vector Process
(VARMASIM)
The nonstationary processes are shown in Figure 10.32 and have
a comovement.
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In Figure 10.33,
the first column is the real part () of the root of the
characteristic function and the second one is the imaginary part (
).
The third column is the modulus, the squared root
of
. The fourth column is
and the last one is
the degree. Since the moduli are greater than equal to one
from the third column, the series is obviously nonstationary.
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