InterventionVar: Intervention variables

In tfarima: Transfer Function and ARIMA Models

Intervention variables

Description

InterventionVar creates an intervention variable to capture the effect of an external event.

Usage

InterventionVar(Y, date, type = c("P", "S", "R"), n.ahead = 0)

Arguments

Y	an object of class ts used to determine the sample period and frequency.
date	the date of the event, c(year, month).
type	a character indicating the type of intervention variables: (P) pulse, (S) step, (R).
n.ahead	number of additional observations to extend the sample period.

Value

An intervention variable, a 'ts' object.

References

G. E. P. Box, G. C. Tiao, “Intervention Analysis with Applications to Economic and Environmental Problems”, Journal of the American Statistical Association, Vol. 70, No. 349. (Mar., 1975), pp. 70-79.

Examples

Y <- seriesJ$Y
P58 <- InterventionVar(Y, date = 58, type = "P")

tfarima documentation built on May 20, 2022, 5:06 p.m.