x11: X-11 Decomposition With Custom Trend Filters

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

X-11 Decomposition With Custom Trend Filters

Description

Perform the X-11 decomposition using custom trend filter

Usage

x11(
  x,
  period = frequency(x),
  trend.coefs,
  mul = TRUE,
  seas.s0 = c("S3X3", "S3X1", "S3X5", "S3X9", "S3X15"),
  seas.s1 = c("S3X5", "S3X3", "S3X1", "S3X9", "S3X15"),
  extreme.lsig = 1.5,
  extreme.usig = 2.5,
  userdefined = NULL
)

Arguments

x	input time-series.
period	period.
trend.coefs	coefficients of the filters used for the trend-cycle extraction from the real-time asymmetric filter to the symmetric filter. Can be a, object of class "list", "matrix", "lp_filter" or "rkhs_filter".
mul	boolean indicating if the decomposition mode is multiplicative.
seas.s0, seas.s1	seasonal filters.
extreme.lsig, extreme.usig	boundaries used for outlier correction in irregular.
userdefined	a vector containing the additional output variables.

Examples

x <- retailsa$AllOtherGenMerchandiseStores
decomposition_lp <- x11(x, trend.coefs = lp_filter())
decomposition_rkhs <- x11(x, trend.coefs = rkhs_filter())
plot(x)
lines(decomposition_lp$decomposition[,"t"], col = "red")
lines(decomposition_rkhs$decomposition[,"t"], col = "green")

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