Example: TimeSeries

This example illustrates setting up a TimeSeries class for a segment of S&P 500 returns during a period in the late 80's.

import com.imsl.stat.*;
import java.util.Date;
import java.text.*;

public class TimeSeriesEx1 {

    public static void main(String args[]) throws ParseException {
        double data1[] = {
            0.940543272, 2.664279727, 0.252045652, 1.221098464, 0.270575973,
            0.446882726, 0.073672969, -4.450030305, 0.007699415, -0.215808015,
            -0.498908466, -0.696433123, 0.113159704, 1.440322251, 0.887874183,
            0.5585227, -0.049267619, -0.452119841, -0.488606538, 0.087972619,
            0.549032948, -1.024238871, -0.589472147, -0.507487482, -0.365744931,
            0.42010331, -1.687159586, 0.212950629, 1.147614577, 0.748805609,
            -1.311175287, -1.574960025, 0.484204788, 0.178009897, -0.869311816,
            1.062785115, 0.098566846, 0.342257263, -0.47633197
        };

        String datestrings1[] = {
            "4/5/1988", "4/6/1988", "4/7/1988",
            "4/8/1988", "4/11/1988", "4/12/1988",
            "4/13/1988", "4/14/1988", "4/15/1988",
            "4/18/1988", "4/19/1988", "4/20/1988",
            "4/21/1988", "4/22/1988", "4/25/1988",
            "4/26/1988", "4/27/1988", "4/28/1988",
            "4/29/1988", "5/2/1988", "5/3/1988",
            "5/4/1988", "5/5/1988", "5/6/1988",
            "5/9/1988", "5/10/1988", "5/11/1988",
            "5/12/1988", "5/13/1988", "5/16/1988",
            "5/17/1988", "5/18/1988", "5/19/1988",
            "5/20/1988", "5/23/1988", "5/24/1988",
            "5/25/1988", "5/26/1988", "5/27/1988"
        };

        SimpleDateFormat dateFormat = new SimpleDateFormat("M/d/y");

        TimeSeries ts = new TimeSeries();
        ts.setSeriesValues(data1);

        System.out.println("The number of observations  = " + ts.getLength());
        System.out.println("The number of missing observations = "
                + ts.getNumMissing());

        Date dates1[] = new Date[ts.getLength()];

        for (int i = 0; i < ts.getLength(); i++) {
            dates1[i] = dateFormat.parse(datestrings1[i]);
        }
        ts.setDates(dates1);
        System.out.println("The starting date is = " + ts.getStartDate());
    }
}

Output

The number of observations  = 39
The number of missing observations = 0
The starting date is = Tue Apr 05 00:00:00 CDT 1988