bflSmooth: Smooth a time series

In InseeFr/disaggR: Two-Steps Benchmarks for Time Series Disaggregation

Smooth a time series

Description

bflSmooth smoothes a time series into a time series of a higher frequency that exactly aggregates into the higher one. The process followed is Boot, Feibes and Lisman, which minimizes the squares of the variations.

Usage

bflSmooth(lfserie, nfrequency, weights = NULL, lfserie.is.rate = FALSE)

Arguments

lfserie	a time series to be smoothed
nfrequency	the new high frequency. It must be a multiple of the low frequency.
weights	NULL or a time series of the same size than the expected high-frequency serie.
lfserie.is.rate	TRUE or FALSE. Only taken into account if weights isn't NULL.

Details

If weights isn't NULL the results depends of lfserie.is.rate :

• if FALSE the rate output/weights is smoothed with the constraint that the aggregated output is equal to the input lfserie.

• if TRUE the input lfserie is the rate to be smoothed, with the constraint that the low-frequency weighted means of the output are equal to lfserie.

Value

A time series of frequency nfrequency

InseeFr/disaggR documentation built on June 29, 2024, 7:10 p.m.