differencing_fast: Automatic differencing

In palatej/rjd3toolkit: Utility Functions around 'JDemetra+ 3.0'

Automatic differencing

Description

The series is differenced till its variance is decreasing.

Usage

differencing_fast(data, period, mad = TRUE, centile = 90, k = 1.2)

Arguments

data	Series being differenced.
period	Period considered in the automatic differencing.
mad	Use of MAD in the computation of the variance (true by default).
centile	Percentage of the data used for computing the variance (90 by default).
k	tolerance in the decrease of the variance. The algorithm stops if the new variance is higher than k*the old variance. k should be equal or slightly higher than 1 (1.2 by default)

Value

Stationary transformation

• ddata: data after differencing

• mean: mean correction

• differences:

  • lag: ddata(t)=data(t)-data(t-lag)

  • order: order of the differencing

Examples

differencing_fast(log(ABS$X0.2.09.10.M), 12)

palatej/rjd3toolkit documentation built on Oct. 30, 2024, 10:46 p.m.