animation (version 2.0-0)

mwar.ani: Demonstration for ``Moving Window Auto-Regression''.

Description

Demonstration for ``Moving Window Auto-Regression''. This function just fulfills a very naive idea about moving window regression using rectangles to denote the ``windows'' and move them, and the corresponding AR(1) coefficients as long as rough confidence intervals are computed for data points inside the ``windows'' during the process of moving.

Usage

mwar.ani(x, k = 15, conf = 2, mat = matrix(1:2, 2), 
    widths = rep(1, ncol(mat)), heights = rep(1, nrow(mat)), 
    lty.rect = 2, ...)

Arguments

x

univariate time-series (a single numerical vector); default to be sin(seq(0, 2 * pi, length = 50)) + rnorm(50, sd = 0.2)

k

an integer of the window width

conf

a positive number: the confidence intervals are computed as c(ar1 - conf*s.e., ar1 + conf*s.e.)

mat,widths,heights

arguments passed to layout to divide the device into 2 parts

lty.rect

the line type of the rectangles respresenting the moving ``windows''

...

other arguments passed to points in the bottom plot (the centers of the arrows)

Value

• A list containing
• phi
  the AR(1) coefficients
• L
  lower bound of the confidence interval
• U
  upper bound of the confidence interval

Details

The AR(1) coefficients are computed by arima.

References

Robert A. Meyer, Jr. Estimating coefficients that change over time. International Economic Review, 13(3):705-710, 1972. http://animation.yihui.name/ts:moving_window_ar

See Also

arima

Examples

## moving window along a sin curve
oopt = ani.options(interval = 0.1, nmax = ifelse(interactive(), 
    50, 2))
par(mar = c(2, 3, 1, 0.5), mgp = c(1.5, 0.5, 0))
mwar.ani(lty.rect = 3, pch = 21, col = "red", bg = "yellow", 
    type = "o")

## for the data 'pageview'
data(pageview)
mwar.ani(pageview$visits, k = 30)

## HTML animation page
saveHTML({
    ani.options(interval = 0.1, nmax = ifelse(interactive(), 
        50, 2))
    par(mar = c(2, 3, 1, 0.5), mgp = c(1.5, 0.5, 0))
    mwar.ani(lty.rect = 3, pch = 21, col = "red", bg = "yellow", 
        type = "o")
}, img.name = "mwar.ani", htmlfile = "mwar.ani.html", ani.height = 500, 
    ani.width = 600, title = "Demonstration of Moving Window Auto-Regression", 
    description = c("Compute the AR(1) coefficient for the data in the", 
        "window and plot the confidence intervals. Repeat this step as the", 
        "window moves."))

ani.options(oopt)