Utilities – Difference Data
Nonseasonal and Seasonal Differencing are used to make a process stationary. This is done automatically in ARIMA, but this utility makes it easy to do manually. This was demonstrated previously in the section Run Chart.- Open Chemical Process Concentration – Series A.xlsx (Sheet 1 tab). This is the Series A data from Box and Jenkins, a set of 197 concentration values from a chemical process taken at two-hour intervals.
- Click SigmaXL > Time Series Forecasting > Utilities > Difference Data. Ensure that the entire data table is selected. If not, Use Entire Data Table. Click Next.
-
Click Concentration, click Numeric Time Series Data (Y) >>.
Enter 1 for Nonseasonal Differencing (d).
- Click OK. A new sheet is created with the order d = 1 differenced data (Y2 - Y1, Y3-Y2, …).
This CCF plot shows significant cross correlation from lag = -9 to +9, with a peak at 0, however the autocorrelation in X and Y data is masking the true nature of the cross correlation.
- Open Monthly Airline Passengers - Series G.xlsx (Sheet 1 tab). This is the Series G data from Box and Jenkins, monthly total international airline passengers for January 1949 to December 1960 and is one of the most popular datasets used in introductory time series forecasting.
-
Click the Sheet 1 tab. Click SigmaXL >
Time Series Forecasting > Utilities > Difference Data.
Ensure that the entire data table is selected. If not, check
Use Entire Data Table. Click Next.
- Select Ln(Airline Passengers), click
Numeric Time Series Data (Y)>>. Enter 1 for
Nonseasonal
Differencing (d); enter 1 for Seasonal Differencing (D);
Seasonal Frequency is specified as 12.
- Click OK. A new sheet
is created with the seasonal order D = 1 differenced data (Y13 -
Y1, Y14-Y2, ...) and nonseasonal order d=1 (D2 – D1, D3 – D2,
...).
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