NAG Library Routine Document

G13AAF

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

+− 9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

1 Purpose

G13AAF carries out non-seasonal and seasonal differencing on a time series. Information which allows the original series to be reconstituted from the differenced series is also produced. This information is required in time series forecasting.

2 Specification

SUBROUTINE G13AAF (

X, NX, ND, NDS, NS, XD, NXD, IFAIL)

INTEGER	NX, ND, NDS, NS, NXD, IFAIL
REAL (KIND=nag_wp)	X(NX), XD(NX)

3 Description

Let

\nabla^{d} \nabla_{s}^{D} x_{i}

be the

i

th value of a time series

x_{i}

, for

i = 1, 2, \dots, n

after non-seasonal differencing of order

d

and seasonal differencing of order

D

(with period or seasonality

s

). In general,

$\nabla^{d} \nabla_{s}^{D} x_{i}$	$=$	$\nabla^{d - 1} \nabla_{s}^{D} x_{i + 1} - \nabla^{d - 1} \nabla_{s}^{D} x_{i}$	$d > 0$
$\nabla^{d} \nabla_{s}^{D} x_{i}$	$=$	$\nabla^{d} \nabla_{s}^{D - 1} x_{i + s} - \nabla^{d} \nabla_{s}^{D - 1} x_{i}$	$D > 0$

Non-seasonal differencing up to the required order

d

is obtained using

$\nabla^{1} x_{i}$	$=$	$x_{i + 1} - x_{i}$	for $i = 1, 2, \dots, (n - 1)$
$\nabla^{2} x_{i}$	$=$	$\nabla^{1} x_{i + 1} - \nabla^{1} x_{i}$	for $i = 1, 2, \dots, (n - 2)$
$⋮$
$\nabla^{d} x_{i}$	$=$	$\nabla^{d - 1} x_{i + 1} - \nabla^{d - 1} x_{i}$	for $i = 1, 2, \dots, (n - d)$

Seasonal differencing up to the required order

D

is then obtained using

$\nabla^{d} \nabla_{s}^{1} x_{i}$	$=$	$\nabla^{d} x_{i + s} - \nabla^{d} x_{i}$	for $i = 1, 2, \dots, (n - d - s)$
$\nabla^{d} \nabla_{s}^{2} x_{i}$	$=$	$\nabla^{d} \nabla_{s}^{1} x_{i + s} - \nabla^{d} \nabla_{s}^{1} x_{i}$	for $i = 1, 2, \dots, (n - d - 2 s)$
$⋮$
$\nabla^{d} \nabla_{s}^{D} x_{i}$	$=$	$\nabla^{d} \nabla_{s}^{D - 1} x_{i + s} - \nabla^{d} \nabla_{s}^{D - 1} x_{i}$	for $i = 1, 2, \dots, (n - d - D \times s)$

Mathematically, the sequence in which the differencing operations are performed does not affect the final resulting series of

m = n - d - D \times s

values.

4 References

None.

5 Parameters

1: X(NX) – REAL (KIND=nag_wp) arrayInput

On entry: the undifferenced time series,

x_{i}

, for

i = 1, 2, \dots, n

2: NX – INTEGERInput

On entry:

n

, the number of values in the undifferenced time series.

Constraint:

NX > ND + (NDS \times NS)

3: ND – INTEGERInput

On entry:

d

, the order of non-seasonal differencing.

Constraint:

ND \geq 0

4: NDS – INTEGERInput

On entry:

D

, the order of seasonal differencing.

Constraint:

NDS \geq 0

5: NS – INTEGERInput

On entry:

s

, the seasonality.

Constraints:

if $NDS > 0$ , $NS > 0$ ;
if $NDS = 0$ , $NS \geq 0$ .

6: XD(NX) – REAL (KIND=nag_wp) arrayOutput

On exit: the differenced values in elements

1

NXD

, and reconstitution data in the remainder of the array.

7: NXD – INTEGEROutput

On exit: the number of differenced values in the array XD.

8: IFAIL – INTEGERInput/Output

On entry: IFAIL must be set to

0

- 1 ​ or ​ 1

. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value

- 1 ​ or ​ 1

is recommended. If the output of error messages is undesirable, then the value

1

is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is

0

. When the value $- 1 or 1$ is used it is essential to test the value of IFAIL on exit.

On exit:

IFAIL = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

IFAIL = 0

- 1

, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Errors or warnings detected by the routine:

$IFAIL = 1$

On entry,	$ND < 0$ ,
or	$NDS < 0$ ,
or	$NS < 0$ ,
or	$NS = 0$ when $NDS > 0$ .

$IFAIL = 2$

On entry,

NX \leq ND + (NDS \times NS)

7 Accuracy

The computations are believed to be stable.

8 Further Comments

The time taken by G13AAF is approximately proportional to

(ND + NDS) \times NX

9 Example

This example reads in a set of data consisting of

20

observations from a time series. Non-seasonal differencing of order

2

and seasonal differencing of order

1

(with seasonality of

4

) are applied to the input data, giving an output array holding

14

differenced values and

6

values which can be used to reconstitute the output array.

NAG Library Routine DocumentG13AAF

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

NAG Library Routine Document

G13AAF