The TIMESERIES Procedure

specifies whether or not the series should be adjusted by its mean prior to performing the singular spectrum analysis. ADJUSTMEAN=YES specifies that the series be transformed by subtracting its mean. ADJUSTMEAN=NO specifies that no adjustment of the series be performed. The default is ADJUSTMEAN=NO.

specifies the lists that categorize window lags into groups. The window lags must be separated by spaces or commas. For example, GROUPS=(1,3) (2,4) specifies that the first and third window lags form the first group and the second and fourth window lags form the second group. If no GROUPS= option is specified, the window lags are divided into two groups based on the THRESHOLDPCT= value.

For example, the following SSA statement specifies three groups:

   ssa / groups=(1 3)(2 4 5)(6);

The first group contains the first and third principal components; the second group contains the second, fourth, and fifth principal components; and the third group contains the sixth principal component.

By default, the first group contains the principal components whose contributions to the series sum to greater than the THRESHOLDPCT= value of 90%, and the second group contains the remaining components.

specifies the window length to be used in the analysis. It represents the maximum lag used in the SSA autocovariance calculations. The number specified by the LENGTH= option must be greater than one. When the SEASONALITY= option is provided or inferred by the INTERVAL= option in the ID statement the default window length is the smaller of two times the length of the seasonal cycle and one half the length of the time series. When no seasonality value is available the default window length is the smaller of 12 and one half the length of the time series.

For example, the following SSA statement specifies a window length of 10:

   ssa / length=10;

If no window length option is specified and the INTERVAL=MONTH or SEASONALITY=12 options are specified, a window length of 24 is used. If the specified window length is greater than one-half the length of the accumulated time series, the window length is reduced and a warning message is printed to the log.

specifies the number of time periods to be stored in the OUTSSA= data set when the TRANSPOSE=YES option is specified. If the TRANSPOSE option is not specified, the NPERIODS= option is ignored. The NPERIODS= option specifies the number of OUTSSA= data set variables to contain the groups.

If the NPERIODS= option is not specified, all of the periods specified between the ID statement START= and END= options are stored. If at least one of the START= or END= options is not specified, the default magnitude is the seasonality specified by the SEASONALITY= option in the PROC TIMESERIES statement or implied by the INTERVAL= option in the ID statement. If only the START= option or both the START= and END= options are specified and the seasonality is zero, the default is NPERIODS=5. If only the END= option or neither the START= nor END= option is specified and the seasonality is zero, the default is NPERIODS=–5.

specifies a percentage used to divide the SSA components into two groups based on the cumulative percentage of their singular values. The percentage specified by the THRESHOLDPCT= option must be greater than zero and less than 100. The default is THRESHOLDPCT=90.

For example, the following SSA statement specifies 80%:

   ssa / THRESHOLDPCT=80;

The size of the second group must be at least one, and it must be less than the window length. The percentage is adjusted to achieve this requirement.

For example, the following SSA statement specifies a THRESHOLDPCT= of 0%, which effectively sets the size of the second group to one less than the window length:

   ssa / THRESHOLDPCT = 0;

The following SSA statement specifies a THRESHOLDPCT= of 100%, which implies that the size of the last group is one:

   ssa / THRESHOLDPCT= 100;

specifies which values are recorded as column names in the OUTSSA= data set. TRANSPOSE=YES specifies that the time periods be recorded as the column names instead of the specified groups as the column names. The first and last time period stored in the OUTSSA= data set corresponds to the period of the ID statement START= and END= options, respectively. If only the ID statement END= option is specified, the last time ID value of each accumulated time series corresponds to the last time period column. If only the ID statement START= option is specified, the first time ID value of each accumulated time series corresponds to the first time period column. If neither the START= option nor the END= option is specified with the ID statement, the first time ID value of each accumulated time series corresponds to the first time period column. The TRANSPOSE=NO option is useful for displaying the SSA results. The TRANSPOSE=YES option is useful for analyzing the SSA results using SAS Enterprise Miner software. The default is TRANSPOSE=NO.