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I would like to know if JMP is capable of computing an Extended Autocorrelation Function. I understand the EACF is useful for identifying mixed ARIMA models.

dledom

Community Trekker

Joined:

Aug 20, 2014

I would like to know if JMP is capable of computing an Extended Autocorrelation Function.  I understand the EACF is useful for identifying mixed ARIMA models.

5 REPLIES
dledom

Community Trekker

Joined:

Aug 20, 2014

Can anybody help with my question?

danielvalente

Joined:

Jul 26, 2013

Hello -- The documentation for the Time Series platform is available here: Time Series Analysis JMP supports ARIMA and Seasonal ARIMA models, as well as Autocorrelation and Partial Autocorrelation Time Series Commands.


ESACF is supported in SAS/ETS (SAS/ETS(R) 13.2 User's Guide).

You might also consider using the JMP interface to R to calculate the ESACF (TSA package).

Check out the JMP blog: jmp.com/blog
danielvalente

Joined:

Jul 26, 2013

Here is a quick GUI that uses some JMP sample data to compute the sample extended acf.

8730_Screen Shot 2015-05-04 at 4.47.26 PM.png

Returns the following to the log:

8731_Screen Shot 2015-05-04 at 4.47.31 PM.png

.jsl script is attached. Note ar.max and ma.max are not parameterized right now but easily could be added to the GUI as user input.

Check out the JMP blog: jmp.com/blog
dledom

Community Trekker

Joined:

Aug 20, 2014

Thank you Daniel. Unfortunately, I don’t know how to develop a GUI. Can

you point me in a direction where I can do some research on the topic? I

have looked on the JMP user Community. I couldn’t find anything there.

From: danielvalente

Sent: Monday, May 04, 2015 3:49 PM

To: Desta Ledom

Subject: Re: - I would like to know if JMP is capable of

computing an Extended Autocorrelation Function. I understand the EACF is

useful for identifying mixed ARIMA models.

JMP User Community

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would like to know if JMP is capable of computing an Extended

Autocorrelation Function. I understand the EACF is useful for identifying

mixed ARIMA models.

reply from danielvalente

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danielvalente

Joined:

Jul 26, 2013

My pleasure -- You can start with my script as a template, but one resource I would recommend checking out is "Jump in JMP Scripting" by Murphrey and Lucas. Link to the Book: Jump into JMP® Scripting

Also, the scripting index in JMP is quite rich. You can find that in Help > Scripting Index in the product.

Also in our documentation, there is a nice index that will help give you some basics on JSL: Help with Learning JSL

Just as an aside, you don't need to make a GUI to make this script work, you can run it all from a script editor if you just need to process a data set with the R function. The GUI just helps to make it more generalizable and "JMP-like".

Hope this helps!

Check out the JMP blog: jmp.com/blog