Example Splus Programs

Spring, 2004

PROGRAM 1: Functions to create correctly scaled plots of the ACF, PACF and to display basic descriptive plots of a time series.
PROGRAM 1b: Descriptive plots- time series, nonparametric density estimate, ACF and PACF - Uses ACF and PACF from Program 1
PROGRAM 2: Example of detrending and smoothing using the Johnson and Johnson series from Shumway and Stoffer - Data can be retrieved from the Shumway/Stoffer webpage. Uses Program 1.
PROGRAM 3: Example of partial autocorrelations. Uses Program 1.
PROGRAM 4: Functions to simulate AR, MA and ARMA models. Uses Program1b. - Uses Program 1b.
PROGRAM 5: Simulate ARIMA models and obtain forecast and forecast errors.
PROGRAM 6: Simulate ARIMA(0,1,1) and forecast (EWMA example). - Uses Program 1b.
PROGRAM 7: Estimation for an AR(2) process - Uses Program 1b.
PROGRAM 8: Bootstrap estimates for an AR process
PROGRAM 9: Model Selection
PROGRAM 10: Example of modeling Seasonally adjusted U.S. GNP
PROGRAM 11: Obtaining variance estimates for the parameters
PROGRAM 12: Transfer Function Modeling: SS pg 213, BD pg 323
PROGRAM 13: Basic periodogram
PROGRAM 14: Explore ARMA Spectral Densities
PROGRAM 15: The effects of filtering
PROGRAM 16: Delay process – bivariate spectra
PROGRAM 17: Long memory , Autoregressive Fractionally Integrated Moving Average Process
PROGRAM 18: Multivariate TS Using Finmetrics

Links to excellent references:

Eric Zivot and Jiuhui Wang Modeling Financial Time Series with Splus http://faculty.washington.edu/ezivot/modelingFinancialTimeSeries.htm

Included in this reference are script files for the programs contained in the text.

Robert H. Shumway and David S. Stoffer, Time Series Analysis and Its Applications http://lib.stat.cmu.edu/general/tsa/tsa.html

Link to US GNP data set

H. Joseph Newton’s time series site

Other programs