2.67 Advanced Time Series Analysis (Pro)

Adv-Time-Series-Analysis

Summary

The Advanced Time Series Analysis app provide three tools for time series data.

• Stationarity test: Test stationarity in time series data using Augmented Dickey-Fuller (ADF) test and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test.

• Granger causality test: Perform Granger causality test between two time series.

• Prewhitening: Prewhiten data using AMRIMA model. Determine an ARIMA model for the x-variable and calculate its residuals. Use the ARIMA model to fit y-variable and calculate the residuals for y-variable. Their residuals are used as prewhitened data.

The required Python library for the app will be automatically installed when the App is launched in the first time. Please restart Origin after the download is completed.

Sample OPJ

1. Right click on the app in Apps Gallery and choose Show Samples Folder from the context menu

   

2. Drag and drop the project file in the opened folder to Origin to open it

Stationarity Test

A stationary series is one in which the mean, variance and covariance do not vary with time. The app test stationarity in time series data using Augmented Dickey-Fuller (ADF) test and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test.

1. Open the Sample OPJ in Origin, in the left Project Explorer, select folder 1.Stationarity Test
2. We are going to test the stationarity for the signal, column A, B

   

3. Click the Advanced Time Series Analysis icon on Apps Gallery. A toolbar pops up in Origin

   

4. Highlight Col(A) and Col(B) and click the first button in the toolbar.
5. Set settings in the opened dialog as the image below

   

6. Click OK to generate the report

   

Granger Causality Test

1. Open the Sample OPJ in Origin, in the left Project Explorer, select folder 2.Granger Causality Test
2. Click the Advanced Time Series Analysis icon on Apps Gallery. A toolbar pops up in Origin

   

3. Highlight Col(A) and Col(B) and click the second button in the toolbar.
4. In the opened dialog, Enter 4 in the Maximum Number of Lags box. Enter 0.05 in the Significance Level box.

   

5. Click OK to generate the report

   

Prewhitening

1. Open the Sample OPJ in Origin, in the left Project Explorer, select folder 3.Prewhiten
2. Click the Advanced Time Series Analysis icon on Apps Gallery. A toolbar pops up in Origin

   

3. Highlight Col(A) and Col(B) and click the third button in the toolbar.
4. In the opened dialog, set (p,d,q) to (1,0,0), clear the Seasonal Order check box and selec Include a Constant Term checkbox.

   

5. Click OK to generate the report