# HarveyCumulator: HarveyCumulator In bsts: Bayesian Structural Time Series

## Description

Given a state space model on a fine scale, the Harvey cumulator aggregates the model to a coarser scale (e.g. from days to weeks, or weeks to months).

## Usage

 ```1 2 3``` ```HarveyCumulator(fine.series, contains.end, membership.fraction) ```

## Arguments

 `fine.series` The fine-scale time series to be aggregated. `contains.end` A logical vector, with length matching `fine.series` indicating whether each fine scale time interval contains the end of a coarse time interval. For example, months don't contain a fixed number of weeks, so when cumulating a weekly time series into a monthly series, you need to know which weeks contain the end of a month. `membership.fraction` The fraction of each fine-scale time observation belonging to the coarse scale time observation at the beginning of the time interval. For example, if week i started in March and ended in April, `membership.fraction[i]` is the fraction of fine.series[i] that should be attributed to March. This should be 1 for most observations.

## Value

Returns a vector containing the course scale partial aggregates of `fine.series`.

## Author(s)

Steven L. Scott [email protected]

## References

Harvey (1990), "Forecasting, structural time series, and the Kalman filter", Cambridge University Press.

Durbin and Koopman (2001), "Time series analysis by state space methods", Oxford University Press.

`bsts.mixed`,
 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14``` ```data(goog) days <- factor(weekdays(index(goog)), levels = c("Monday", "Tuesday", "Wednesday", "Thursday", "Friday"), ordered = TRUE) ## Because of holidays, etc the days do not always go in sequence. ## (Sorry, Rebecca Black! https://www.youtube.com/watch?v=kfVsfOSbJY0) ## diff.days[i] is the number of days between days[i-1] and days[i]. ## We know that days[i] is the end of a week if diff.days[i] < 0. diff.days <- tail(as.numeric(days), -1) - head(as.numeric(days), -1) contains.end <- c(FALSE, diff.days < 0) goog.weekly <- HarveyCumulator(goog, contains.end, 1) ```