ISmAutoCorrelation.MissingData

Syntax

Description

The MissingData property determines missing data treatment method.

Comments

By default missing data is not treated.

Example

Add a link to the Stat system assembly.

Sub UserProc;
Var
    AC: SmAutoCorrelation;
    d0, d1, d2, d3, d4: Double;
    i, res: Integer;
    s: Array[25] Of Double;
Begin
    // Create a class instance
    AC := New SmAutoCorrelation.Create;
    // Set data series values
    s[00] := 4110; s[01] := 4280; s[02] := 4459; s[03] := 4545; s[04] := Double.Nan;
    s[05] := 4861; s[06] := 5195; s[07] := 5389; s[08] := 5463; s[09] := 5610;
    s[10] := 5948; s[11] := 6218; s[12] := 6521; s[13] := 6788; s[14] := Double.Nan;
    s[15] := 7486; s[16] := 7832; s[17] := 8153; s[18] := 8468; s[19] := 9054;
    s[20] := 9499; s[21] := 9866; s[22] := 10217; s[23] := 10763; s[24] := 10683;
    AC.Serie.Value := s;
    // Determine start point of sample period
    AC.ModelPeriod.FirstPoint := 1;
    // Determine end point of sample period
    AC.ModelPeriod.LastPoint := 25;
    // Determine missing data treatment method
    AC.MissingData.Method := MissingDataMethod.Casewise;
    // Determine how many times a source time series will be differenced
    AC.DifferenceOrder := 3;
    // Determine lag
    AC.LagOrder := 10;
    // Execute calculation
    res := AC.Execute;
    If res <> 0 Then
        Debug.WriteLine(AC.Errors);
        Else
            // Get standard error
            d0 := AC.StandardError;
            Debug.WriteLine("Standard error: " + d0.ToString);
            Debug.WriteLine("ACF, PACF");
            For i := 0 To AC.AutoCorrelationFunction.Length - 1 Do
                // Get autocorrelation function (ACF)
                d1 := AC.AutoCorrelationFunction[i];
                // Get partial autocorrelation function (PACF)
                d2 := AC.PartialAutoCorrelationFunction[i];
                Debug.WriteLine((i + 1).ToString + ". " + d1.ToString + ", " + d2.ToString);
            End For;
            Debug.WriteLine("Ljung-Box Q-statistic, Ljung-Box Q-statistic probability");
            For i := 0 To AC.AutoCorrelationFunction.Length - 1 Do
                // Get Ljung-Box Q-statistics
                d3 := AC.QStatistics[i];
                // Get Ljung-Box Q-statistics probability
                d4 := AC.Probability[i];
                Debug.WriteLine((i + 1).ToString + ", " + d3.ToString + ", " + d4.ToString);
            End For;
    End If;
End Sub UserProc;

After executing the example the console window displays the following:

Standard error.
Autocorrelation function.
Partial autocorrelation function.
Ljung-Box Q-statistic.
Get Ljung-Box Q-statistics probability.