invert_difference: Invert first-order and seasonal differencing (go from...

In reichlab/sarima-utils: SARIMA Models with Transformations and Seasonal Differencing

Description

Invert first-order and seasonal differencing (go from seasonally differenced time series to original time series).

Usage

invert_difference(dy, y, d, D, frequency)

Arguments

dy	a first-order and/or seasonally differenced univariate time series with values like y_t - y_t - ts_frequency
y	a univariate time series or numeric vector with values like y_t - ts_frequency.
d	order of first differencing
D	order of seasonal differencing
frequency	frequency of time series. Must be provided if y is not of class "ts" and D > 0. See the help for stats::ts for more.

Details

y may have longer length than dy. It is assumed that dy "starts" one time index after y "ends": that is, if y is of length T, d = 0, and D = 1 then dy[1] = y[T + 1] - y[T + 1 - ts_frequency]

Value

a time series object (of class 'ts')

reichlab/sarima-utils documentation built on March 21, 2020, 3:45 a.m.