vbv: Time series decomposition with VBV (Verallgemeinertes Berliner Verfahren)

vbv implements the VBV as described in the upcoming article "Decomposition of Time Series using the Generalised Berlin Method (VBV)" by Hebbel and Steuer, to be published in Jan Beran, Yuanhua Feng, Hartmut Hebbel (Eds.): Empirical Economic and Financial Research - Theory, Methods and Practice, Festschrift in Honour of Prof. Siegfried Heiler. Series: Advanced Studies in Theoretical and Applied Econometrics. Springer 2014, p. 9-40. VBV is a method to decompose a time series using penalized splines. Both methods, static estimation and moving estimation are implemented.

Author
Detlef Steuer <steuer@hsu-hh.de>, Hartmut Hebbel <hartmut.hebbel@hsu-hh.de>
Date of publication
2013-12-17 09:52:07
Maintainer
Detlef Steuer <steuer@hsu-hh.de>
License
GPL-3
Version
0.5

View on R-Forge

Man pages

VBV.decomposition
VBV.decomposition - decompose a time series with VBV
VBV.estimation
VBV estimation - estimate trend and seasonal components...
VBV.moving
VBV moving - decompose a times series into locally estimated...
VBV.movingestimation
VBV moving estimation - estimate locally optimized trend and...
vbv-package
VBV - Time series decomposition with VBV (Verallgemeinertes...

Files in this package

vbv/DESCRIPTION
vbv/NAMESPACE
vbv/R
vbv/R/VBV.decomposition.R
vbv/R/VBV.estimation.R
vbv/R/VBV.moving.R
vbv/R/VBV.movingestimation.R
vbv/man
vbv/man/VBV.decomposition.Rd
vbv/man/VBV.estimation.Rd
vbv/man/VBV.moving.Rd
vbv/man/VBV.movingestimation.Rd
vbv/man/vbv-package.Rd