descomponer: Time series decomposition In PacoParra/descomponer-1.5: Seasonal Adjustment by Frequency Analysis

Description

Decompose a time series into seasonal, trend and irregular components using the transform amplitude-frequency domain to time series.

Usage

 `1` ```descomponer(y,frequency,type) ```

Arguments

 `y` a Vector of the observed time-serie values `frequency` Number of times in each unit time interval `type` lineal (1), quadratic(2)

Details

One could use a value of 7 for frequency when the data are sampled daily, and the natural time period is a week, or 4 and 12 when the data are sampled quarterly and monthly and the natural time period is a year.

Transforms the time series in amplitude-frequency domain, by a band spectrum regresion (Parra, F. ,2013) of the serie y_t and a OLS lineal trend, in which regression is carried out in the low and the sesaonal amplitude-frequency_t .The low frequency are the periodicity a n/2*frequency or (n-1)/2*frequency , if n is odd. The seasonal frequency are the periodicity: 2n/2*frequency,3n/2*frequency,4n/2*frequency,.. .

Use the "sort.data.frame" function, Kevin Wright (http://tolstoy.newcastle.edu.au/R/help/04/07/1076.html).

Slow computer in time series higher 1000 data.

The output is a data.frame object.

Value

 `y` The Vector of the observed time-serievalues `TDST` The trend and seasonal time serie of y `TD` The trend time serie of y `ST` The seasonal time serie of y `IR` The remainder time serie of y `regresoresTD` The regressors matrix use to the trend estimated `regresoresST` The regressors matrix use to the seasonal estimated `coeficientesTD` The coefficient vector use to the trend estimated `coeficientesSD` The coefficient vector use to the seasonal estimated

References

Harvey, A.C. (1978), Linear Regression in the Frequency Domain, International Economic Review, 19, 507-512.

Parra, F. (2014), Amplitude time-frequency regression, (http://econometria.wordpress.com/2013/08/21/estimation-of-time-varying-regression-coefficients/)

Examples

 ```1 2 3``` ```data(ipi) datos <- descomponer(ipi,12,2) plot(ts(datos\$datos,frequency=12)) ```

PacoParra/descomponer-1.5 documentation built on May 6, 2019, 9:07 a.m.