nag_tsa_mean_range (g13auc) (PDF version)
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g13 Chapter Introduction
NAG C Library Manual

NAG Library Function Document

nag_tsa_mean_range (g13auc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_tsa_mean_range (g13auc) calculates the range (or standard deviation) and the mean for groups of successive time series values. It is intended for use in the construction of range-mean plots.

2  Specification

#include <nag.h>
#include <nagg13.h>
void  nag_tsa_mean_range (Integer n, const double z[], Integer m, Nag_RangeStat rs, double y[], double mean[], NagError *fail)

3  Description

Let Z1,Z2,,Zn denote n successive observations in a time series. The series may be divided into groups of m successive values and for each group the range or standard deviation (depending on a user-supplied option) and the mean are calculated. If n is not a multiple of m then groups of equal size m are found starting from the end of the series of observations provided, and any remaining observations at the start of the series are ignored. The number of groups used, k, is the integer part of n/m. If you wish to ensure that no observations are ignored then the number of observations, n, should be chosen so that n is divisible by m.
The mean, Mi, the range, Ri, and the standard deviation, Si, for the ith group are defined as
Mi=1mj=1mZl+mi-1+j Ri=max1jmZl+mi-1+j-min1jmZl+mi-1+j
and
Si= 1m- 1 j= 1mZl+mi- 1+j-Mi2
where l=n-km, the number of observations ignored.
For seasonal data it is recommended that m should be equal to the seasonal period. For non-seasonal data the recommended group size is 8.
A plot of range against mean or of standard deviation against mean is useful for finding a transformation of the series which makes the variance constant. If the plot appears random or the range (or standard deviation) seems to be constant irrespective of the mean level then this suggests that no transformation of the time series is called for. On the other hand an approximate linear relationship between range (or standard deviation) and mean would indicate that a log transformation is appropriate. Further details may be found in either Jenkins (1979) or McLeod (1982).
You have the choice of whether to use the range or the standard deviation as a measure of variability. If the group size is small they are both equally good but if the group size is fairly large (e.g., m=12 for monthly data) then the range may not be as good an estimate of variability as the standard deviation.

4  References

Jenkins G M (1979) Practical Experiences with Modelling and Forecasting Time Series GJP Publications, Lancaster
McLeod G (1982) Box–Jenkins in Practice. 1: Univariate Stochastic and Single Output Transfer Function/Noise Analysis GJP Publications, Lancaster

5  Arguments

1:     nIntegerInput
On entry: n, the number of observations in the time series.
Constraint: nm.
2:     z[n]const doubleInput
On entry: z[t-1] must contain the tth observation Zt, for t=1,2,,n.
3:     mIntegerInput
On entry: m, the group size.
Constraint: m2.
4:     rsNag_RangeStatInput
On entry: indicates whether ranges or standard deviations are to be calculated.
rs=Nag_UseRange
Ranges are calculated.
rs=Nag_UseSD
Standard deviations are calculated.
Constraint: rs=Nag_UseRange or Nag_UseSD.
5:     y[intn/m]doubleOutput
On exit: y[i-1] contains the range or standard deviation, as determined by rs, of the ith group of observations, for i=1,2,,k.
6:     mean[intn/m]doubleOutput
On exit: mean[i-1] contains the mean of the ith group of observations, for i=1,2,,k.
7:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_BAD_PARAM
On entry, argument value had an illegal value.
NE_INT
On entry, m=value.
Constraint: m2.
NE_INT_2
On entry, n=value and m=value.
Constraint: nm.
NE_INTERNAL_ERROR
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.

7  Accuracy

The computations are believed to be stable.

8  Further Comments

The time taken by nag_tsa_mean_range (g13auc) is approximately proportional to n.

9  Example

The following program produces the statistics for a range-mean plot for a series of 100 observations divided into groups of 8.

9.1  Program Text

Program Text (g13auce.c)

9.2  Program Data

Program Data (g13auce.d)

9.3  Program Results

Program Results (g13auce.r)


nag_tsa_mean_range (g13auc) (PDF version)
g13 Chapter Contents
g13 Chapter Introduction
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012