g13baf

g13baf © Numerical Algorithms Group, 2002.

Purpose

G13BAF Multivariate time series, filtering (pre-whitening) by an ARIMA model

Synopsis

[b,ifail] = g13baf(y,mr,par<,cy,ifail>)

Description

 
 From a given series y ,y ,...,y , a new series b ,b ,...,b  is 
                      1  2      n                1  2      n   
 calculated using a supplied (filtering) ARIMA model. This model 
 will be one which has previously been fitted to a series x  with 
                                                           t     
 residuals a . The equations defining b  in terms of y  are very 
            t                          t              t         
 similar to those by which a  is obtained from x . The only 
                            t                   t          
 dissimilarity is that no constant correction is applied after 
 differencing. This is because the series y  is generally distinct
                                           t              
 from the series x  with which the model is associated, though y  
                  t                                             t
 may be related to x . Whilst it is appropriate to apply the ARIMA
                    t                                        
 model to y  so as to preserve the same relationship between b  
           t                                                  t
 and a  as exists between y  and x , the constant term in the 
      t                    t      t                          
 ARIMA model is inappropriate for y . The consequence is that b  
                                   t                           t
 will not necessarily have zero mean.
 
 The equations are precisely:
 
                              d       D                      
                    w =(nabla) (nabla) y ,                     (1)
                     t                s t                    
 
 the appropriate differencing of y ; both the seasonal and non-
                                  t                       
 seasonal inverted autoregressive operations are then applied,
 
              u =w -(Phi) w   -...-(Phi) w                     (2)
               t  t      1 t-s          P t-s*P              
 
               v =u -(phi) u   -...-(phi) u                    (3)
                t  t      1 t-1          p t-p               
 
 followed by the inverted moving average operations
 
            z =v +(Theta) z   +...+(Theta) z                   (4)
             t  t        1 t-s            Q t-s*Q            
 
             b =z +(theta) b   +...+(theta) b   .              (5)
              t  t        1 t-1            q t-q             
 
 Because the filtered series value b  depends on present and past 
                                    t                            
 values y ,y   ,... there is a problem arising from ignorance of 
         t  t-1                                                 
 y ,y  ,... which particularly affects calculation of the early 
  0  -1                                                        
 values b ,b ,..., causing 'transient errors'. The routine allows 
         1  2                                                    
 two possibilities.
 
 (i)   The equations (1), (2) and (3) are applied from 
       successively later time points so that all terms on their 
       right-hand sides are known, with v  being defined for 
                                         t                  
       t=(1+d+s*D+s*P),...,n. Equations (4) and (5) are then 
       applied over the same range, taking any values on the 
       right-hand side associated with previous time points, to be
       zero.
       
       This procedure may still however result in unacceptably 
       large transient errors in early values of b .
                                                  t
 
 (ii)  The unknown values y ,y  ,... are estimated by 
                           0  -1                     
       backforecasting. This requires that an ARIMA model distinct
       from that which has been supplied for filtering, should 
       have been previously fitted to y .
                                       t
 
 For efficiency, the user is asked to supply both this ARIMA model
 for y , and a limited number of backforecasts which are prefixed 
      t                                                          
 to the known values of y . Within the routine further 
                         t                            
 backforecasts of y , and the series w , u , v  in (1), (2), (3) 
                   t                  t   t   t                 
 are then easily calculated, and a set of linear equations solved 
 for backforecasts of z ,b  for use in (4) and (5) in the case 
                       t  t                                   
 that q+Q>0.
 
 Even if the best model for y  is not available, a very 
                             t                         
 approximate guess such as
 
                              y =c+e 
                               t    t
 
 or
 
                           (nabla)y =e 
                                   t  t
 
 can help to reduce the transients substantially.
 
 The backforecasts which need to be prefixed to y  are of length 
                                                 t              
 Q' =q +s *Q  where q  and Q  are the non-seasonal and seasonal 
   y  y  y  y        y      y                                  
 moving average orders and s  the seasonal period, for the ARIMA 
                            y                                   
 model of y . Thus the user need not carry out the backforecasting
           t                                       
 exercise if Q' =0. Otherwise, the series y ,y ,...,y  should be 
               y                           1  2      n          
 reversed to obtain y ,y   ,...,y  and G13AJF should be used to 
                     n  n-1      1                             
                      ^      ^                                   
 forecast Q'  values, y ,...,y     . The ARIMA model used is that 
            y          0      1-Q'                               
                                 y                              
 fitted to y  (as a forward series) except that if d +D  is odd, 
            t                                       y  y        
 the constant should be changed in sign (to allow e.g. for the 
 fact that a forward upward trend is a reversed downward trend). 
 The ARIMA model for y  supplied to the filtering routine must 
                      t                                       
 however have the appropriate constant for the forward series.
 
            ^          ^                                   
 The series y     ,...,y ,y ,...,y  is then supplied to the 
             1-Q'       0  1      n                        
                y                                         
 routine, and a corresponding set of values returned for b .
                                                          t
 

Parameters

g13baf

Required Input Arguments:

y (:)                                 real
mr (:)                                integer
par (:)                               real

Optional Input Arguments:                       <Default>

cy                                    real     0
ifail                                 integer  -1

Output Arguments:

b (:)                                 real
ifail                                 integer