bbturns: turns of a time series

In Nisus-Liu/bbturns: select turns form a time series by B-B algorithm

Description

bbturns returns turns information of a time series, selected by B-B algorithm.

Usage

bbturns(x, neighbour = 5, mincycle = 15, phase = 5, extr_limit = 3.5,
  end_num = 6, mcd_gap = 8)

Arguments

x	a numeric vector.
neighbour	find local extreme within +/- neighbour.
mincycle	numeric, one cycle must have at least mincycle months, if a monthly time series.
phase	numeric, a phase of one cycle must have length of phase months, phase means peak to peak or trough to trough.
extr_limit	numeric, some values will be regarded as extreme who out range of +/- extr_limit standard deviation of ratio of irregular and original series.
end_num	peak or trough should be apart form either end of series by at least end_num months.
mcd_gap	max gap for calculate ratio when getting MCD value, default is 8.

Details

B-B algorithm proposed by Gerhard Bry and Charlotte Boschan in 1971, see http://papers.nber.org/books/bry_71-1.

Value

• isturn a vector stores turns information of series. 1 means it is a peak turn, -1 means it is trough turn, 0 means neither peak nor trough.

• isturn_old a vector stores turns information for last setup.

• peaktrough_idx stores index of peak or trough turns of original series.

• peak_idx peak index.

• trough_idx trough index.

Author(s)

Hejun Liu, Beijing [e-mail]

Examples

data(importexport)
bbturns(importexport$ImEx)

Nisus-Liu/bbturns documentation built on May 7, 2019, 6:18 p.m.