diagnostic_matrix: Compute quality criteria for asymmetric filters

In palatej/rjdfilters: Trend-Cycle Extraction with Linear Filters

Compute quality criteria for asymmetric filters

Description

Function du compute a diagnostic matrix of quality criteria for asymmetric filters

Usage

diagnostic_matrix(x, lags, passband = pi/6, sweights, ...)

Arguments

x	Weights of the asymmetric filter (from -lags to m).
lags	Lags of the filter (should be positive).
passband	passband threshold.
sweights	Weights of the symmetric filter (from 0 to lags or -lags to lags). If missing, the criteria from the functions mse are not computed.
...	optional arguments to mse.

Details

For a moving average of coefficients \theta=(\theta_i)_{-p\le i\le q} diagnostic_matrix returns a list with the following ten criteria:

• b_c Constant bias (if b_c=0, \theta preserve constant trends)

  \sum_{i=-p}^q\theta_i - 1

• b_l Linear bias (if b_c=b_l=0, \theta preserve constant trends)

  \sum_{i=-p}^q i \theta_i

• b_q Quadratic bias (if b_c=b_l=b_q=0, \theta preserve quadratic trends)

  \sum_{i=-p}^q i^2 \theta_i

• F_g Fidelity criterium of Grun-Rehomme et al (2018)

• S_g Smoothness criterium of Grun-Rehomme et al (2018)

• T_g Timeliness criterium of Grun-Rehomme et al (2018)

• A_w Accuracy criterium of Wildi and McElroy (2019)

• S_w Smoothness criterium of Wildi and McElroy (2019)

• T_w Timeliness criterium of Wildi and McElroy (2019)

• R_w Residual criterium of Wildi and McElroy (2019)

References

Grun-Rehomme, Michel, Fabien Guggemos, and Dominique Ladiray (2018). “Asymmetric Moving Averages Minimizing Phase Shift”. In: Handbook on Seasonal Adjustment.

Wildi, Marc and McElroy, Tucker (2019). “The trilemma between accuracy, timeliness and smoothness in real-time signal extraction”. In: International Journal of Forecasting 35.3, pp. 1072–1084.

palatej/rjdfilters documentation built on May 8, 2023, 6:28 a.m.