| Title: | Seasonal Adjustment of High Frequency Data with 'JDemetra+ 3.x' |
|---|---|
| Description: | R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It provides functions for seasonal adjustment of high-frequency data displaying multiple, non integer periodicities. Pre-adjustment with extended airline model and Arima Model Based decomposition. |
| Authors: | Jean Palate [aut, cre], Tanguy Barthelemy [ctb, art] |
| Maintainer: | Jean Palate <[email protected]> |
| License: | EUPL |
| Version: | 2.1.1.9000 |
| Built: | 2024-09-10 22:22:38 UTC |
| Source: | https://github.com/rjdverse/rjd3highfreq |
Title
.arima_extract(jrslt, path).arima_extract(jrslt, path)
path |
Title
.extended_airline_loglevel(jregarima, jspec, precision = 1e-05).extended_airline_loglevel(jregarima, jspec, precision = 1e-05)
precision |
Title
.extended_airline_outliers( jregarima, jspec, types = c("ao"), start = 0, end = 0, critical_value = 0, max_outliers = 30, max_round = 30 ).extended_airline_outliers( jregarima, jspec, types = c("ao"), start = 0, end = 0, critical_value = 0, max_outliers = 30, max_round = 30 )
max_round |
Title
.extendedairline_estimation( jregarima, jspec, eps = 1e-09, exactHessian = FALSE ).extendedairline_estimation( jregarima, jspec, eps = 1e-09, exactHessian = FALSE )
exactHessian |
Creates a java RegArima models based on an extended airline spec
.extendedairline_regarima(y, jspec, mean = FALSE, X = NULL).extendedairline_regarima(y, jspec, mean = FALSE, X = NULL)
y |
y |
jspec |
Java spec |
mean |
Mean correction (to be avoided) |
X |
Regression variables |
A Java RegArima model
jspec<-.extendedairline_spec(c(12)) .extendedairline_regarima(rjd3toolkit::ABS$X0.2.09.10.M, jspec)jspec<-.extendedairline_spec(c(12)) .extendedairline_regarima(rjd3toolkit::ABS$X0.2.09.10.M, jspec)
Internal routine to create an ExtendedAirlineSpec
.extendedairline_spec( periodicities, differencing = -1, ar = FALSE, toint = FALSE ).extendedairline_spec( periodicities, differencing = -1, ar = FALSE, toint = FALSE )
periodicities |
Periodicities |
differencing |
Differnecing order. -1 for automatic computation |
ar |
Use of an AR regular stationary polynomial instead of a MA polynomial |
toint |
Round periodicties to integers |
A Java ExtendedAirlineSpec object
.extendedairline_spec(c(7, 365.25)).extendedairline_spec(c(7, 365.25))
This function creates a customized plot in the same template as JD+ GUI color and forms.
.plot_jd(x, y, col, legend_txt = NULL, ...).plot_jd(x, y, col, legend_txt = NULL, ...)
x |
Numeric vector, x-axis values. |
y |
List of numeric vectors, y-axis values for different series. |
col |
Vector of colors for different series. |
legend_txt |
Character vector of legend labels for different series. |
... |
Additional graphical parameters. |
'NULL' (invisible).
Perform an Arima Model Based (AMB) decomposition
fractionalAirlineDecomposition( y, period, sn = FALSE, stde = FALSE, nbcasts = 0, nfcasts = 0, log = FALSE, y_time = NULL )fractionalAirlineDecomposition( y, period, sn = FALSE, stde = FALSE, nbcasts = 0, nfcasts = 0, log = FALSE, y_time = NULL )
y |
input time series. |
period |
period of the seasonal component, any positive real number. |
sn |
decomposition into signal and noise (2 components only). The signal is the seasonally adjusted series and the noise the seasonal component. |
stde |
Boolean: TRUE: compute standard deviations of the components. In some cases (memory limits), it is currently not possible to compute them |
nbcasts |
number of backcasts. |
nfcasts |
number of forecasts. |
y_time |
vector of times at which 'y' is indexed |
adjust |
Boolean: TRUE: actual fractional airline model is to be used, FALSE: the period is rounded to the nearest integer. |
Title
fractionalAirlineDecomposition_raw( y, period, sn = FALSE, stde = FALSE, nbcasts = 0, nfcasts = 0 )fractionalAirlineDecomposition_raw( y, period, sn = FALSE, stde = FALSE, nbcasts = 0, nfcasts = 0 )
nfcasts |
Title
fractionalAirlineDecomposition_ssf(jdecomp)fractionalAirlineDecomposition_ssf(jdecomp)
jdecomp |
Linearize the series with a fractional airline model
fractionalAirlineEstimation( y, periods, x = NULL, ndiff = 2, ar = FALSE, outliers = NULL, criticalValue = 6, precision = 1e-12, approximateHessian = FALSE, nfcasts = 0, log = FALSE, y_time = NULL )fractionalAirlineEstimation( y, periods, x = NULL, ndiff = 2, ar = FALSE, outliers = NULL, criticalValue = 6, precision = 1e-12, approximateHessian = FALSE, nfcasts = 0, log = FALSE, y_time = NULL )
y |
input time series. |
periods |
vector of periods values of the seasonal component, any positive real numbers. |
x |
matrix of user-defined regression variables (see rjd3toolkit for building calendar regressors). |
outliers |
type of outliers sub vector of c("AO","LS","WO") |
criticalValue |
Critical value for automatic outlier detection |
precision |
Precision of the likelihood |
approximateHessian |
Compute approximate hessian (based on the optimizing procedure) |
nfcasts |
Number of forecasts |
log |
a logical |
y_time |
vector of times at which 'y' is indexed |
Title
jd2r_fractionalAirlineDecomposition( jrslt, sn = FALSE, stde = FALSE, period, log = FALSE, y_time = NULL )jd2r_fractionalAirlineDecomposition( jrslt, sn = FALSE, stde = FALSE, period, log = FALSE, y_time = NULL )
y_time |
vector of times at which the time series is indexed |
Title
jd2r_multiAirlineDecomposition( jrslt, stde = FALSE, periods, log = FALSE, y_time = NULL )jd2r_multiAirlineDecomposition( jrslt, stde = FALSE, periods, log = FALSE, y_time = NULL )
y_time |
vector of times at which the time series is indexed |
Perform an Arima Model Based (AMB) decomposition on several periodcities at once
multiAirlineDecomposition( y, periods, ndiff = 2, ar = FALSE, stde = FALSE, nbcasts = 0, nfcasts = 0, log = FALSE, y_time = NULL )multiAirlineDecomposition( y, periods, ndiff = 2, ar = FALSE, stde = FALSE, nbcasts = 0, nfcasts = 0, log = FALSE, y_time = NULL )
y |
input time series. |
periods |
vector of periods values of the seasonal component, any positive real numbers. |
stde |
Boolean: TRUE: compute standard deviations of the components. In some cases (memory limits), it is currently not possible to compute them |
nbcasts |
number of backcasts. |
nfcasts |
number of forecasts. |
y_time |
vector of times at which 'y' is indexed |
adjust |
Boolean: TRUE: actual fractional airline model is to be used, FALSE: the period is rounded to the nearest integer. |
sn |
decomposition into signal and noise (2 components only). The signal is the seasonally adjusted series and the noise the seasonal component. |
Title
multiAirlineDecomposition_raw( y, periods, ndiff = 2, ar = FALSE, stde = FALSE, nbcasts = 0, nfcasts = 0 )multiAirlineDecomposition_raw( y, periods, ndiff = 2, ar = FALSE, stde = FALSE, nbcasts = 0, nfcasts = 0 )
nfcasts |
Title
multiAirlineDecomposition_ssf(jdecomp)multiAirlineDecomposition_ssf(jdecomp)
jdecomp |
This function creates a plot for the result of an Arima Model Based (AMB) decomposition of one or several frequencies (class 'JDFractionalAirlineDecomposition'). It shows the decomposition and the component of the model.
## S3 method for class 'JDFractionalAirlineDecomposition' plot(x, from, to, type_chart = c("y-sa-trend", "cal-seas-irr"), ...)## S3 method for class 'JDFractionalAirlineDecomposition' plot(x, from, to, type_chart = c("y-sa-trend", "cal-seas-irr"), ...)
x |
An object of class 'JDFractionalAirlineDecomposition'. |
from |
'Date' or 'POSIXt' object, optional starting point for x-axis. |
to |
'Date' or 'POSIXt' object, optional ending point for x-axis. |
type_chart |
Character vector specifying the type of chart to plot ("y-sa-trend", "cal-seas-irr"). |
... |
Additional graphical parameters. |
'NULL' (invisible).
This function creates a plot for the result of fractional airline model (class 'JDFractionalAirlineEstimation'). It shows the raw data and linearized series.
## S3 method for class 'JDFractionalAirlineEstimation' plot(x, from, to, ...)## S3 method for class 'JDFractionalAirlineEstimation' plot(x, from, to, ...)
x |
An object of class 'JDFractionalAirlineEstimation'. |
from |
'Date' or 'POSIXt' object, optional starting point for x-axis. |
to |
'Date' or 'POSIXt' object, optional ending point for x-axis. |
... |
Additional graphical parameters. |
'NULL' (invisible).
This function prints informations on the result of a Fractional Airline model (classe JDFractionalAirlineDecomposition).
## S3 method for class 'JDFractionalAirlineDecomposition' print(x, digits = max(3L, getOption("digits") - 3L), ...)## S3 method for class 'JDFractionalAirlineDecomposition' print(x, digits = max(3L, getOption("digits") - 3L), ...)
x |
An object of class 'JDFractionalAirlineDecomposition'. |
digits |
Number of digits to round numerical values (default is 3 or digits - 3 from options). |
The original object 'x'.
This function prints informations on the result of a Fractional Airline model (classe JDFractionalAirlineEstimation).
## S3 method for class 'JDFractionalAirlineEstimation' print(x, digits = max(3L, getOption("digits") - 3L), ...)## S3 method for class 'JDFractionalAirlineEstimation' print(x, digits = max(3L, getOption("digits") - 3L), ...)
x |
An object of class 'JDFractionalAirlineEstimation'. |
digits |
Number of digits to round numerical values (default is 3 or digits - 3 from options). |
The original object 'x'.