sim_calendar: Simulate calendar effects

In tssim: Simulation of Daily and Monthly Time Series

Description

Simulate a time series containing specified calendar effects

Usage

sim_calendar(
  n,
  which = c("Easter", "Ascension"),
  from = 0,
  to = 0,
  freq = 12,
  effect_size = 3,
  start = "2020-01-01",
  multiplicative = TRUE,
  time_dynamic = 1,
  center = TRUE
)

Arguments

n	Time series length
which	Holidays to be used, functions from timeDate package used
from	days before the Holiday to include
to	days after the Holiday to include
freq	Frequency of the time series
effect_size	Mean size of calendar effect
start	Start Date of output time series
multiplicative	Boolean. Is multiplicative time series model assumed?
time_dynamic	Should the calendar effect change over time
center	Should calendar variable be center, i.e. mean=0

Details

If multiplicative is true, the effect size is measured in percentage. If is not true, the effect size is unit less and thus adopts the unit of the time series the calendars are added to. The time_dynamic parameter controls the change of the calendar effect. The effect of the previous year is multiplied by the time_dynamic factor.

Value

The function returns a time series of class xts

Author(s)

Daniel Ollech

References

Ollech, D. (2021). Seasonal adjustment of daily time series. Journal of Time Series Econometrics. doi: 10.1515/jtse-2020-0028

Examples

plot(sim_calendar(60, from=0, to=4, freq=12))

tssim documentation built on June 25, 2021, 5:06 p.m.