outliers_variables: Generating Outlier regressors

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

Generating Outlier regressors

Description

Generating Outlier regressors

Usage

ao_variable(frequency, start, length, s, pos, date = NULL)

tc_variable(frequency, start, length, s, pos, date = NULL, rate = 0.7)

ls_variable(frequency, start, length, s, pos, date = NULL, zeroended = TRUE)

so_variable(frequency, start, length, s, pos, date = NULL, zeroended = TRUE)

Arguments

frequency	Frequency of the series, number of periods per year (12,4,3,2..)
start, length	First date (array with the first year and the first period) (for instance c(1980, 1)) and number of periods of the output variables. Can also be provided with the s argument
s	time series used to get the dates for the trading days variables. If supplied the parameters frequency, start and length are ignored.
pos, date	the date of the outlier, defined by the position in period compared to the first date (pos parameter) or by a specific date defined in the format "YYYY-MM-DD".
rate	the decay rate of the transitory change regressor (see details).
zeroended	Boolean indicating if the regressor should end by 0 (zeroended = TRUE, default) or 1 (zeroended = FALSE), argument valid only for LS and SO.

Details

An additive outlier (AO, ao_variable) is defined as:

AO_t = \begin{cases}1 &\text{if } t=t_0 \\ 0 & \text{if }t\ne t_0\end{cases}

A level shift (LS, ls_variable) is defined as (if zeroended = TRUE):

LS_t = \begin{cases}-1 &\text{if } t < t_0 \\ 0 & \text{if }t\geq t_0 \end{cases}

A transitory change (TC, tc_variable) is defined as:

TC_t = \begin{cases} 0 &\text{if }t < t_0 \\ \alpha^{t-t_0} & t\geq t_0 \end{cases}

A seasonal outlier (SO, so_variable) is defined as (if zeroended = TRUE):

SO_t = \begin{cases} 0 &\text{if }t\geq t_0 \\ -1 & \text{if }t < t_0 \text{ and $t$ same periode as }t_0\\ -\frac{1}{s-1} & \text{otherwise }\end{cases}

Examples

# Outliers in February 2002
ao <- ao_variable(12, c(2000, 1), length = 12 * 4, date = "2002-02-01")
ls <- ls_variable(12, c(2000, 1), length = 12 * 4, date = "2002-02-01")
tc <- tc_variable(12, c(2000, 1), length = 12 * 4, date = "2002-02-01")
so <- so_variable(12, c(2000, 1), length = 12 * 4, date = "2002-02-01")
plot.ts(ts.union(ao, ls, tc, so),
    plot.type = "single",
    col = c("black", "orange", "green", "gray")
)

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