disag1: Create a disaggregated time series

In disagg2: Support Functions for Time Series Analysis Book

Create a disaggregated time series

Description

Input an annual, quarterly series. Create a quarterly or monthly series via ARIMA

Usage

disag1(x, m)

Arguments

x	Input ts, must have frequency of 1 or 4
m	Order of disaggregation, must be 12, 4, or 3

Details

Uses ARIMA model on the aggregate series to create a disaggregate series

Value

y_s	Disag. series to be summed
y_m	Disag. series mean
disphi	Disagg phi value
distheta	Disagg theta value
dissig2	Disagg sigma2

References

William W.S. Wei and Daniel Stram, 1990, Disaggregation of Time Series Models, Journal of the Royal Statistics Society, B, Vol 52, Number 3, pp. 453-467. Erin M. Hodgess and William W.S. Wei, 1996, Temporal Disaggregation of Time Series, Applied Statistical Science I, pp. 33-43, Nova Science Publishers, Commack, NY

disagg2 documentation built on April 12, 2025, 1:47 a.m.