LongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in Julia

Illustrative example on the package usage

J. Eduardo Vera-Valdés (eduardo@math.aau.dk)

Abstract

LongMemory.jl is a package for time series long memory modelling in Julia. The package provides functions for generating long memory, estimating the parameters of the models, and simulation. Generating methods include fractional differencing, stochastic error duration, and cross-sectional aggregation. Estimators include those inspired by the log-periodogram regression and parametric ones. This notebook provides an illustrative example on the use of the package.

Citation

If you use this package in your research, please cite it as:

@article{VeraValdes2024longmemory,
  title={LongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in Julia},
  author={Vera-Vald{\'e}s, J Eduardo},
  year={2024},
}

Nile River minima data, its autocorrelation function and spectral density

Packages loading and plot.

using Pkg
Pkg.activate(pwd())
using LongMemory, Plots, DataFrames, CSV

NileMin = NileData()
theme(:ggplot2)
p1 = plot( NileMin.Year , NileMin.NileMin, xlabel="Year" , ylabel = "Nile River minima" , legend = false )

Plotting the autocorrelation function using the autocorrelation_plot() function from LongMemory.jl.

p2 = autocorrelation_plot( NileMin.NileMin , 50 )

Plotting the spectral density with LongMemory.jl’s periodogram() function.

p3 = periodogram_plot(NileMin.NileMin, slope = true)
l = @layout [a; b c]
theme(:ggplot2)
plot(p1, p2, p3, layout = l, size = (700, 500) )

Saving the plot in a file.

png("extras/NileRiverMin")
"extras\\NileRiverMin.png"

All the above plus the log-variance plot can be done in a single plot.

NileDataPlot()

Fractional differencing generation and plotting

Loading the packages, setting the seed, and generating the fractional differencing series.

using Random
Random.seed!(1234)

dx = fi_gen(500,0.3)
500-element Vector{Float64}:
  0.9706563288552146
 -0.6880215128786354
  0.7973733442603006
  0.19192066674807962
 -0.46144511739243677
 -1.514799781765257
  2.2501256016290645
  2.0467649947720434
  1.5280686228970994
 -0.1269305253098677
  ⋮
 -0.9301341055606994
 -1.3332191794608566
 -0.4967820828987304
 -1.0341442518867014
 -1.0834385445422616
 -1.0557333271693792
 -0.08535062227423523
 -1.783593060065521
  0.11117399279145923

Plotting the fractional differenced series, and the sample autocorrelation function. The theoretical autocorrelation function is also plotted by using the fi_var_vals() function from LongMemory.jl.

p1 = plot( dx , label = "Fractionally differenced data" )
p2 = plot( 0:50 , autocorrelation( dx , 51 ) , label = "Sample autocorrelation function", line = :stem , marker = :circle)
plot!( 0:50, fi_cor_vals( 51, 0.3 ), linewidth = 2, line = :dash, label = "Theoretical autocorrelation function")
l = @layout [a b]
theme(:ggplot2)
plot(p1, p2, layout = l, size = (700, 250) )

Saving the plot in a file.

png("extras/figen_example")
"extras\\figen_example.png"

Cross-sectional aggregation generation and plotting

Generating the cross-sectional aggregation series using the finite and asymptotic methods.

Random.seed!(1234)
csa_fin = csa_gen(1000,1000,1.3,1.5)
csa_asym = csa_gen(1000,1.3,1.5)
1000-element Vector{Float64}:
 -1.434679999957066
  0.5962989958783722
  0.1418324402922586
  0.40804516361116644
  0.23480352350419353
  0.7451556571924364
 -0.2941583523329968
 -0.4777412339927196
 -1.517659837349598
 -2.113784945213323
  ⋮
 -2.7406120122495956
 -2.280351869139533
 -2.5191991540873353
 -3.405192265416972
 -4.311258066542951
 -2.9105934330779
 -2.171456426631365
 -1.3123848584664004
 -0.6638330178874884

Plotting the autocorrelation function of the finite and asymptotic series. The theoretical autocorrelation function is also plotted by using the csa_var_vals() function from LongMemory.jl.

plot( 0:50 , autocorrelation( csa_fin , 51 ) , label = "Sample autocorrelation function, finite approximation", line = :stem , marker = :circle)
plot!( 0:50 , autocorrelation( csa_asym , 51 ) , label = "Sample autocorrelation function, asymptotic model", line = :stem , marker = :circle, color = :black)
plot!( 0:50, csa_cor_vals( 51, 1.3, 1.5 ), linewidth = 3, line = :dash, label = "Theoretical autocorrelation function", color = :red)
theme(:ggplot2)
plot!(size = (500, 200) )

Save the plot in a file.

png("extras/csagen_example")
"extras\\csagen_example.png"

Stochastic error duration generation and plotting

Data generation and plotting.

LMPlot(sds_gen(1000,0.45), name = "Stochastic duration shock")
theme(:ggplot2)
plot!( size = (700, 500) )

Saving the plot in a file.

png("extras/edmgen_example")
"extras\\edmgen_example.png"

Classic estimators

Variance plot in Nile River data

log_variance_plot( NileData().NileMin; m=300, slope = true, slope2 = true )
plot!(size = (500, 300) )
png("extras/Nile_variance_plot")
"extras\\Nile_variance_plot.png"

Computing the long memory parameter by the log-variance plot.

log_variance_est( NileData().NileMin; m = 300 )
0.15619757726603672

Rescaled range analysis in Nile River data

Estimation by rescaled range, R/S

rescaled_range_est( NileData().NileMin ; k = 300)
0.4254606013817649

Rescaled range plot

rescaled_range_plot( NileMin[:,2]; k = 300, slope = true, slope2 = true )

Semiparametric estimators

Log-periodogram regression in Nile River data

GPH and bias-reduced estimator with one polynomial term

(gph_est( NileData().NileMin ),  gph_est( NileData().NileMin ; br = 1))
(0.37449410505423664, 0.39745526593583125)

Variance estimates

(gph_est_variance( NileData().NileMin ),  gph_est_variance( NileData().NileMin ; br = 1))
(0.002272008379624622, 0.0051120188541553995)

Variance estimates using multiple dispatch on the sample size

(gph_est_variance( length( NileData().NileMin ) ),  gph_est_variance( length( NileData().NileMin ) ; br = 1))
(0.002272008379624622, 0.0051120188541553995)

(Exact) Local Whittle estimator in Nile River data

Local Whittle and exact local Whittle estimators

(whittle_est( NileData().NileMin ),  exact_whittle_est( NileData().NileMin ))
(0.37635955766433826, 0.4088495239569418)
(whittle_est_variance( NileData().NileMin ),  exact_whittle_est_variance( NileData().NileMin ))
(0.0013812154696132596, 0.0013812154696132596)

Parametric estimators

Fractional differencing MLE in Nile River data

dmle, sigfi = fi_mle_est( NileData().NileMin )
(0.3925714993964694, 69.95632676539786)

CSA MLE in Nile River data

pmle, qmle, sigcsa = csa_mle_est( NileData().NileMin )
(1.0000010468704805, 2.447721694890551, 106.79804259351367)

Custom-HAR in Nile River data

beta_har, sighar = har_est( NileData().NileMin; m = [1, 7] )
([254.23541690816745, 0.40096895301134294, 0.377482428389992], 69.6124509836161)

Forecasting

Illustration of the forecasting methods in Nile River data

Fractional differencing

p1 = fi_forecast_plot( NileData().NileMin , 30, dmle, sigfi)

Cross-sectional aggregation

p2 = csa_forecast_plot( NileData().NileMin , 30, pmle, qmle, sigcsa)

HAR forecasting

p3 = har_forecast_plot( NileData().NileMin , 30)

Comparing the forecasting methods

l = @layout [a b c]
theme(:ggplot2)
plot(p1, p2, p3, layout = l, size = (800, 300) )
xlims!(500, 673)
xlabel!("")
ylabel!("")
png("extras/Nile_forecasting_plot")
"extras\\Nile_forecasting_plot.png"