factorsdiff: Factor Seasonal Differencing Filter

In uroot: Unit Root Tests and Graphics for Seasonal Time Series

Description

Factor seasonal differencing filter in quarterly and monthly time series.

Usage

    factorsdiff (wts, factors)
  

Arguments

wts	a univariate time series object.
factors	the factors of the seasonal differencing filter to apply to the data.

Details

fators is a 0-1 vector of length S/2+1, where S is the periodicity of the time series. The frequencies are ordered in the vector as follows: c(zero, pi, pi/2) for quarterly series and c(zero, pi, pi/2, 2pi/3, pi/3, 5pi/6, pi/6) for monthly series.

A zero in the element i of the vector indicates that the cycle associated to the corresponding frequency will not be filtered. The cycles related to frequencies that are set equal to 1 are filtered.

Value

A list containing: Data of the filtered series, coefficients and lags of the polynomial that configure the filter.

Author(s)

Javier Lopez-de-Lacalle [e-mail] and Ignacio Diaz-Emparanza [e-mail].

See Also

plotcycles.

Examples

    ## Filter seasonal frequencies.
    data(AirPassengers)
    factorsdiff(wts=AirPassengers, factors=c(0,1,1,1,1,1,1))
  

uroot documentation built on May 2, 2019, 6:49 p.m.