getOptK: Optimal temporal aggregation level for AR(1), MA(1),...

In tsutils: Time Series Exploration, Modelling and Forecasting

Optimal temporal aggregation level for AR(1), MA(1), ARMA(1,1)

Description

Calculate the theoretically optimal temporal aggregation level for AR(1), MA(1) and ARMA(1,1) time series.

Usage

getOptK(y, m = 12, type = c("ar", "ma", "arma"))

Arguments

y	a time series that must be of either ts or msts class.
m	maximum aggregation level.
type	type of data generating process. Can be: "ar": For AR(1) series. "ma": For MA(1) series. "arma": For ARMA(1,1) series.

Value

Identified optimal temporal aggregation level.

Author(s)

Nikolaos Kourentzes, [e-mail].

References

• Kourentzes, N., Rostami-Tabar, B., & Barrow, D. K. (2017). Demand forecasting by temporal aggregation: using optimal or multiple aggregation levels?. Journal of Business Research, 78, 1-9.

• Rostami-Tabar, B., Babai, M. Z., Syntetos, A., & Ducq, Y. (2013). Demand forecasting by temporal aggregation. Naval Research Logistics (NRL), 60(6), 479-498.

• Rostami-Tabar, B., Babai, M. Z., Syntetos, A., & Ducq, Y. (2014). A note on the forecast performance of temporal aggregation. Naval Research Logistics (NRL), 61(7), 489-500.

Examples

getOptK(referrals)

tsutils documentation built on Nov. 15, 2023, 1:08 a.m.