[R] Need help with time series

[Naresh Gurbuxani]

Thanks for providing direction.  By redefining time using as.yearmon(), I got acf() working.

Sent from my iPhone

On Jan 14, 2025, at 6:51 PM, CALUM POLWART <polc1410 using gmail.com> wrote:


acf wants a time series, so tries to make one:

as.ts(myts)


Time Series:
Start = 19357
End = 20027
Frequency = 1
  [1]  24957     NA     NA     NA     NA     NA     NA     NA     NA     NA
 [11]     NA     NA     NA     NA     NA     NA     NA     NA     NA     NA
 [21]     NA     NA     NA     NA     NA     NA     NA     NA     NA     NA
 [31]     NA  10577     NA     NA     NA     NA     NA     NA     NA     NA
 [41]     NA     NA     NA     NA     NA     NA     NA     NA     NA     NA
 [51]     NA     NA     NA     NA     NA     NA     NA     NA     NA     NA
 [61]     NA     NA -18516     NA     NA     NA     NA     NA     NA     NA
 [71]     NA     NA     NA     NA     NA     NA     NA     NA     NA     NA
 [81]     NA     NA     NA     NA     NA     NA     NA     NA     NA     NA
 [91]   2940     NA     NA     NA     NA     NA     NA     NA     NA     NA
[101]     NA     NA     NA     NA     NA     NA     NA     NA     NA     NA
[111]     NA     NA     NA     NA     NA     NA     NA     NA     NA     NA
[121]     NA  -1458     NA     NA     NA     NA     NA     NA     NA     NA
[131]     NA     NA

I'm not familiar enough with TS to know how you make them 31d month units...


On Tue, 14 Jan 2025, 23:08 Naresh Gurbuxani, <naresh_gurbuxani using hotmail.com<mailto:naresh_gurbuxani using hotmail.com>> wrote:
For below data, I find strange results in basic time series analysis.  Why does acf() function find missing values?  When crossprod(xmat) is invertible, why does arima() find system exactly singular?

Thanks,
Naresh

x <- c(24957, 10577, -18516, 2940, -1458, 32704, -26697, -46902, 48413, -11937, 2043, 26431, -55336, -16838, 89651, 25363,    -50388, -41012, -28242, -18213, 58759, -15290, -7413, 124098)

myts <- zoo::zoo(x,                 seq.Date(as.Date("2022-12-31"), as.Date("2024-11-30"), by = "1 month"))

> myts

2022-12-31 2023-01-31 2023-03-03 2023-03-31 2023-05-01 2023-05-31 2023-07-01

     24957      10577     -18516       2940      -1458      32704     -26697

2023-07-31 2023-08-31 2023-10-01 2023-10-31 2023-12-01 2023-12-31 2024-01-31

    -46902      48413     -11937       2043      26431     -55336     -16838

2024-03-02 2024-03-31 2024-05-01 2024-05-31 2024-07-01 2024-07-31 2024-08-31

     89651      25363     -50388     -41012     -28242     -18213      58759

2024-10-01 2024-10-31

    -15290      -7413

> coredata(myts) |> class()

[1] "numeric"

> acf(myts, lag.max = 2)

Error in na.fail.default(as.ts(x)) : missing values in object

> arima(myts, order = c(1, 0, 0))

Error in solve.default(res$hessian * n.used, A) :

  Lapack routine dgesv: system is exactly singular: U[1,1] = 0

> xmat <- na.omit(cbind(x = myts, xlag1 = lag(myts, k = -1)))

> crossprod(xmat) |> solve()

                 x        xlag1

x     3.488838e-11 1.949958e-12

xlag1 1.949958e-12 3.421268e-11



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