TSA-TD-Diff-Tutorial
The Differences tool is supported in the Time Series Analysis App. It is used to transform a non-stationary time series into a stationary one. A stationary time series has constant mean, variance, and autocorrelation over time, which makes it easier to model and forecast.
This tutorial uses App's built-in sample project. To open this sample OPJU file:
Differences tool calculates non-seasonal and seasonal differencing on a time series.
This app calls nag_tsa_diff (g13aac) function [1] to calculate.
Given a time series xi, i = 1, 2, ..., n, after non-seasonal differencing of order d and seasonal differencing of order D with period s, the transformation can be expressed as:
The first elements in the result are missing values.
1. nag_tsa_diff (g13aac)