mseastest: Seasonal plots

Description Usage Arguments Value Author(s) References Examples

View source: R/mseastest.R

Description

Multiplicative seasonality test.

Usage

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mseastest(y,m=NULL,type=c("pearson","spearman","kendall"),cma=NULL,
          sn=1, alpha=0.05,outplot=c(0,1,2))

Arguments

y

Vector of target data, can be ts object.

m

Seasonal period. If y is a ts object then the default is its frequency.

type

Test is based on: 1. "pearson" correlation [Default]; 2. "spearman" correlation; 3. "kendall" correlation.

cma

Level/trend of time series. If not given a central moving average is calculated.

sn

Seasonal periods of decreasing magnitude to consider for the test. The suggested value is 1. Default = 1.

alpha

Significance level. Default = 0.05.

outplot

Produce a plot of seasonal elements and level: 0 - No plot [Default]; 1 - Scatterplot; 2 - Time series plot.

Value

out$is.multiplicative

If TRUE the test found evidence of multiplicative seasonality.

out$statistic

The test statistic.

out$pvalue

P-value of the test.

Author(s)

Nikolaos Kourentzes

References

N. Kourentzes, C. Diaz. Forecasting seasonal time series: identifying additive and multiplicative seasonality. Working Paper.

Examples

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trnnick/TStools documentation built on Aug. 12, 2018, 4:31 a.m.