to_weekly: Change a daily to a weekly differenced time series

In dsa: Seasonal Adjustment of Daily Time Series

Description

This function computes the weekly aggregates or differences (by default Friday to Friday) for any daily time series in the xts format.

Usage

to_weekly(x, incl_forecast = T, forecast_length = 365, diff = T, dayofweek = 5)

Arguments

x	input series
incl_forecast	whether the series contains a forecast that shall be omitted
forecast_length	length of forecast
diff	should series be differenced
dayofweek	which day of the week (friday=5)

Author(s)

Daniel Ollech

Examples

to_weekly(xts::xts(rnorm(365, 10,1), seq.Date(as.Date("2010-01-01"), length.out=365, by="days")))

Example output

                  [,1]
2010-01-01          NA
2010-01-08  0.51491543
2010-01-15 -0.22732670
2010-01-22 -0.08381238
2010-01-29 -1.52056981
2010-02-05  1.01965300
2010-02-12 -1.99787778
2010-02-19  1.61488297
2010-02-26 -3.02035085
2010-03-05  2.81552833
2010-03-12  0.13977097
2010-03-19 -0.82134264
2010-03-26  1.92832349
2010-04-02 -0.34651505
2010-04-09 -1.80002687
2010-04-16  1.47415712
2010-04-23 -1.12859632
2010-04-30  1.26211202
2010-05-07  1.18093134
2010-05-14 -2.43655714
2010-05-21 -0.16484631
2010-05-28 -0.99446567
2010-06-04  1.37574646
2010-06-11  0.52373714
2010-06-18  1.94243325
2010-06-25 -2.36806759
2010-07-02 -0.15581113
2010-07-09  0.35069205
2010-07-16  0.84724601
2010-07-23 -1.30307586
2010-07-30  2.45938434
2010-08-06 -1.75155178
2010-08-13 -0.62053093
2010-08-20  1.34186419
2010-08-27 -0.62411739
2010-09-03 -1.11336006
2010-09-10 -0.69877754
2010-09-17  2.73709382
2010-09-24 -0.38035139
2010-10-01 -0.36677954
2010-10-08 -1.30401819
2010-10-15  1.05938257
2010-10-22 -0.26808088
2010-10-29 -0.23871395
2010-11-05  1.58086609
2010-11-12 -0.11794315
2010-11-19  2.00413573
2010-11-26 -3.38873160
2010-12-03  0.20108190
2010-12-10  1.34062016
2010-12-17 -2.23147840
2010-12-24 -0.38643407
2010-12-31  2.85671626

dsa documentation built on June 21, 2021, 9:07 a.m.