例3.5.sas

来自「第一章 时间序列分析简介 第二章 时间序列的预处理 第三章 平稳时间序列分析 第」· SAS 代码 · 共 48 行

data a;
x1_0=0;
x2_0=0;
x3_0=0;
x3_1=0;
x4_0=0;
x4_1=0;
do t=-100 to 1000;
e=rannor(12345);
x1=0.8*x1_0+e;
x2=-0.8*x2_0+e;
x3=x3_0-0.5*x3_1+e;
x4=-x4_0-0.5*x4_1+e;
x1_0=x1;
x2_0=x2;
x3_1=x3_0;
x4_1=x4_0;
x3_0=x3;
x4_0=x4;
if t>0 then output ;
end;
data a;
set a;
keep t x1 x2 x3 x4;
proc arima;
identify var=x1 nlag=20 outcov=out1;
identify var=x2 nlag=20 outcov=out2;
identify var=x3 nlag=20 outcov=out3;
identify var=x4 nlag=20 outcov=out4;
proc gplot data=out1;
plot corr*lag ;
proc gplot data=out2;
plot corr*lag ;
proc gplot data=out3;
plot corr*lag ;
proc gplot data=out4;
plot corr*lag ;
proc gplot data=out1;
plot partcorr*lag ;
proc gplot data=out2;
plot partcorr*lag ;
proc gplot data=out3;
plot partcorr*lag ;
proc gplot data=out4;
plot partcorr*lag ;
symbol c=red i=needle v=none;
run;