differencing a time series
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I want to difference a time series till it becomes stationary.how to code it using matlab.i am writing my code below.please help me to continue it acf=autocorr of time series
l(k)=lower limit
u(k)=upper limit
if ((acf(k+1)<l(k)) || (acf(k+1)>u(k))),a time series is non-stationary.now i have to difference a time series till it becomes stationary.how to write using a single expression.
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dpb
2013년 8월 10일
편집: dpb
2013년 8월 10일
What's k supposed to represent--the k-th lag of the acf series or the acf after the k-th difference of x?
Maybe my utility function can help some w/ the complexity -- it's just syntactic sugar but by putting the logic expressions at a lower level it can often lead to seeing how to reduce expressions...
while ~all(iswithin(acf,l,u))
... do another difference here
end
where acf is presumed to be the acf at the kth iteration
iswithin is
function flg=iswithin(x,lo,hi)
% returns T for values within range of input
% SYNTAX:
% [log] = iswithin(x,lo,hi)
% returns T for x between lo and hi values, inclusive
flg= (x>=lo) & (x<=hi);
답변 (1개)
dpb
2013년 8월 11일
OK, presuming you have a vector of given length and the limits of the same, then
(acf(k+1)<l(k)) || (acf(k+1)>u(k)))
is
acf(2:end)<l || acf(2:end)>u
if do want the short-circuiting operator here.
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